I'm CPU mining myself and I think I could give you a few tips. First of all, you might want to know why there was no share sent. You said you mine at 300khash/s. I had 1mhash on my netbook, so I'd make sure you're using a good miner on your place (unless it's an ancient machine, then it's okay; I recommend ufasoft's CPU miner anyway). I mine a share in about 1-2 hours' time. I hacked my CPU miner to see how many hashes does it take me on average to mine a share and it's 4206 Mhashes. With 0.3 Mhash it should take you around 233 minutes (almost 4 hours) to mine an average share. Although, my least lucky share took 36901 Mhashes to complete, so it would keep you busy for 34 hours. It's extreme, though - I have 370 shares in my database so far, so it makes sense to assume the chance is around 0.27%.
With such a slow hashrate I recommend you to choose a mining pool that has a relatively slow hashrate, most preferrably with a pay per share system. I use Eligius, because it would also pay me out for every single share - their system is to pay you out once you reach the 0.33BTC treshhold (which would take you years to complete at this hashrate) or once you stop mining for a week on for a particular address. They pay no fees, since they put their payouts in the 'generated' block header theirselves.
I hope I helped you any little.