We show how to set up a Cellular Dynamical Mean Field Theory for the Holstein's polaron problem using the exact solution of a cluster of n sites embedded in a Weiss's field. We show that a restricted basis, that allows excitations of phonons only for n sites at a time, reproduces exactly the equations of the n-site Dynamical Mean Field Theory, and enables to check the proposed decoupling scheme of the Green's functions via Exact Numerical Diagonalizations. We introduce a real space formulation of the Cellular Dynamical Mean Field Theory that applies to any lattice with or without periodic boundary conditions and that allows to partition the lattice into different kinds of clusters.