1. you cannot do actual redirection, this can only be done with a script or a function on a web server (IIS, Apache).
2. even if you could do the above, you cannot redirct to /site part. basically some page. DNS doesn't do that.
3. what you CAN do is create an alias or a CNAME that will open in browser your site.yahoo.com by going to mysite.com. you cant create a CNAME for site.yahoo.com/site, so you will have to open mysite.com/site anyway.
Hope this helps.