I am having the same problem and am using DreamHost Apps (free). I do not want to change my nameservers.
When I set it up I received an email saying:
"... OR you need to ask your current webhost to create a "CNAME from donfilemon.com to wordpress.dreamhost.com."
I have GoDaddy and I configured it so that www points to wordpress.dreamhost.com and it did not work. You can check that www.donfilemon.com is not directed to wordpress.
However, I was successful on setting up the subdomains drupal.donfilemon.com and photos.donfilemon.com.
Considering I am using Dreamhost Apps free version, how should I configure in GoDaddy the A record for my www to work and be directed to wordpress?
Would this affect my MX record and other CNAME records I have in GoDaddy?
Thanks in advance