You can access domain configuration options from the administration portal from Setup | Domains.
For system administrators familiar with managing DNS, the options available to you in Office 365 will seem extremely straightforward. For everyone else, they'll seem like arcane language from the phylactery of a long dead necromancer.
By default, the only domain configured for your Office 365 tenant will have a name like tenant_id.onmicrosoft.com. Chances are that you'll actually want to use your real domain name, something like mycompany.com, to receive emails and things like that. To do so, you'll have to provide proof to Microsoft that you own the domain name you want to connect with your tenant.
But why, ...