Problems with multi-site setup

I looked again and again in different posts about the multisite setup, but I am unable to get them to work.

I want different subdomains using only one DB.

These are the steps I followed:

1. Downloaded Drupal 6.2 and copied content to the root of my personal website. (Hosted on one.com)
2. Run the Drupal setup. Point to correct database etc. No problems.
3. My main site is now accessible. Everything OK here...
4. Create different folders in Sites for the different subdomains. I created /sites/a.mysite.com, b.mysite.com, c.mysite.com.
5. Copied the settings.php from sites/default to each subfolder.
6. Now I want to access a.mysite.com or b.mysite.com but I receive http error 404.

I can only point my browser to www.mysite.com/sites/a.mysite.com.

Am I missing something here? I followed the installation procedure step-by-step. I looked at different posts to see whether I did something wrong.

Can anyone help me out here?

Thanks,

E.