I have searched for a solution most users requirements are different to this.
My company has a website, we will call it: http://www.MainSite.com
We have now set up a WordPress blog on a different server and its URL is blog.AnotherSite.com/MainSite
My company wants the blog to appear under our 'www.MainSite.com' url eg. http://www.MainSite.com/blog
We have set it up so that the URL we want points to the blog. Problem is that when you click a link in the blog it loads the absolute URL. Is there an easy way of creating the page URL's as relative, without doing individual page redirects etc.