Hi Sanjeev,
At the moment, Captivate Prime allows you to setup a custom sub-domain only which can be done by logging into your account as an Admin and then click on "Company Info" on the left column.
Click on the hyperlink "Change" to the right of the Subdomain and you may choose something like yourcompanyname.captivateprime.com as per availability.
In case you have a specific domain/URL available to you which you would like to use to access Prime, then you may setup a redirect from that URL to the URL for your Prime account so that all learners accessing that specific URL get re-directed to the URL for your Prime account by default.
Regards,
Sharad