You can work with frames.
It's not very convenient but if you want to display the url http://www.***.com, you can add a (invisible ) frame on that server and link direct to another site.
Yep. But then you would need to be able to host that page (the frameset) on the right url.
I think what you are referring to is "domain masking" where this kind of frameset page is made by the domain registrar or hosting provider. It will indeed show up in your browser as if the page is located on that domain. Generally frames are a pain when you are dealing with search engines, but if you are not expecting to get search engine traffic then domain masking is a cheap option.
Atleast GoDaddy offers this kind of domain forwarding with masking.
If you do decide to use domain masking, you usually need to change all your internal links to using absolute urls instead of relative urls (
http://www.12345.com/folder/page.htm instead of folder/page.htm). Otherwise the browser will start showing the "real url" again.
More on the subject:
http://www.multipledomainswebsitehosting.com
Juuso