Its really very simple. I have a blog called pics Hippo !!. Its URL is http://picshippo.blogspot.com

see how i have made a custom url for it.

1.Just go to TinyURL.com

2.Enter url you want to short.

3.Use Custom alias (optional): present just below where you have entered your url.

4.Check out my blog’s custom url @ http://tinyurl.com/picshippo

5.There are many other sites which let you create custom shor url like

http://tiny.cc

http://bit.ly

http://goo.gl

http://9.bb

and many more…

EDIT: the domain http://j.mp you have mentioned belongs to bit.ly so you can use domain by signing up for bit.ly

In bit.ly , custom domain is available only for the registered user.