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...