A friend has created a WordPress site and added me as an administrator. I need to be able to add a sub-domain that points to a different website but all the instructions I can find require me to access settings in "My Site" but when I go there, I get the message "You don't have any WordPress sites yet.". I assume this is because I didn't create the site in the first place? Is there a way to grant me access to this or does the site creator have to do it?
Sounds like this is a Multisite installation, and if so -- he needs to add you as a Network Administrator not just a single site administrator.
I need to be able to add a sub-domain that points to a different website
What exactly do you mean by this? You want to add a subdomain that points to a different server? A different WordPress installation? A different site on the same WordPress installation?
If you're just trying to setup a subdomain to point to a different site (different from the main WordPress one) -- that needs to be done through your friends web hosting control panel -- not through WordPress.
If it is a multisite and you're trying to add a new site (setup as subdomain), as mentioned, you need Network Administrator access not just standard Administrator