I have a .com.mx domain and I would like to use it with FRIHOST, is this possible, and please tell me how, or where can I refer to know more.
is it possible to use my own domain
You can use your own domain if you have the ability to set up nameservers, which you can probably do, but it depends on where the domain came from. I use a .com domain with GoDaddy here and it works very well.
If your registrar provides you with the ability to set nameservers for that domain (to ns1.frih.net and ns2.frih.net in this case), then it is possible to host that domain on Frihost.
