Omar AL Zabir writes about how to use a Content Delivery Network (CDN). This is one of the 13 rules Yahoo suggests for making your web pages faster (2 - Use a Content Delivery Network).
It's been a while since I've made a CDN, but lack of time prevented me to do much work on it. It's working fine though, check http://channel9.www1.uricache.com/.
If you want to try it out contact me through my weblog.