This option is available for Voomly Enterprise users. Each course will have its own unique domain that will look like CourseName.voomly.com. You can access this by opening your course then, clicking on the Pages tab.
If you own your own domain name, navigate to courses-->select edit on the right-hand side-->settings. There you can find the option to use your own site as the direct domain instead of using the default with the Voomly subdomain. There will also be detailed instructions near the domain field.