Your blog can only have 1 domain as it's URL (address on the internet).
For example http://myblog.com
But you can "redirect" as many domains as you like to it.
So for example you could have mydomain1.com and mydomain2.com - and when you type that address in your browser, it would redirect you to your blog at myblog.com
Here's how to enable the Domain Forwarding for your other domains.
(these instructions are for BlogPress Domains - for domains with other registrars these instructions will vary)
It's not a "DNS change", but rather enabling forwarding.
Go to your domain settings page, and enable "Forwarding" - http://www.screencast.com/t/7r1JDhRHf5
On that screen you'll put in the URL of the website you're forwarding to. this is the REAL URL of your blog.
For example http://wtfblog.net - then click "Preview" to verify and it'll show you a preview of the site you're forwarding to.
Go with the default options there, and select "update DNS" - the pre-checked "recommended" option.
That should be it... within a few hours it should be working. DNS changes take a few hours to propagate.