Anyone know how I can setup one of my domains so that, if someone does:

<somethinghere>.mydomain.com

It automatically does: www.mydomain.com/file.php?var=<somethinghere>

TIA.

Running apache if that information is necessary.

On Apache, are you running cPanel based hosting or other?

cPanel host.

I just need it for one of my domains.

you need to be root (WHM) to modify dns records
* in a 1.2.3.4

and httpd.conf in /usr/local/apache/conf
*.domain.com

then make a .htaccess in your /home/user/public_html to mod_rewrite the address

The above would set it up for the DNS part, you should however also set-up the Apache hosts for all the subdomains.
You can work-round this by putting some php into the default index for this IP. It will read the HTTP request headers and will forward to the desired addres so long as they call for something.yourdomain.com

you dont need to setup each subdomain in apache, apache takes *.domain.com in vhost setup

That would point to the same site, if you need each subdomain to have their own page, then you would need to add virtualhost for each site.

RewriteEngine On
RewriteCond %{HTTP_HOST} ^([^.]+)\.domain\.com$ [NC]
RewriteCond %1 !^www$ [NC]
RewriteRule ^.*$ /file.php?var=%1 [R,QSA]

This is redirect, however. I haven't figure out how to use internal redirection with this (ie the address bar should still be the sub.domain.com). Tried many ways but got 500 all the time.

Actually, if you set it to point at the same site, you could use the "hostname" server variable to get the current site it is visiting and then just pop that into a array. Very simple and very fast. No mod_rewrite or anything