You can create the Shares however you want. If you haven’t done so already you may want to read the My Cloud User Manual (http://support.wdc.com/product.aspx?ID=904) to fully understand the My Cloud features and options.
The My Cloud includes a media server called Twonky. The User Manual has some information, more information can be found in the unofficial Twonky FAQ thread:
https://community.wd.com/t/faq-twonky-dlna-media-server-setup-use/95373
