Sorry about the duplicate posts Jan - I tried to edit the original, but it somehow got reposted each time.
Anyways -
I obviously entered something wrong with my first CDN effort, but I wasn't about to try and replicate the deletion trick; it took over 1 hour to re-upload all the files & folders via FTP.
My 2nd attempt:
Exercising a little more care this time; I did get a self hosted CDN running OK on a cookieless subdomain.
I was however disappointed to see negligible improvement in page load time. (I used Firefox for the tests, & I realize results can vary quite a bit between browsers)
Obviously a CDN is supposed to be just that - not a pretend one on the same server.
This is a fairly fast VPS, running DSO with Mod Ruid 2.
With shared hosting, a self-hosted CDN may be more worthwhile.
One thing I did find out:
A self-hosted CDN with 1 subdomain is marginally faster.
A self-hosted CDN with 2 subdomains, is actually SLOWER.
So if anybody is wondering about setting up multiple subdomains for a self-hosted CDN; don't bother (in my experience anyway).