In order for your domain name to point to your website, you need to set the nameserver for it in your account.  This lets the domain know where your site is located so that your visitors will be able to view it.

1. Log into your GoDaddy account, and choose “Domain Manager” from the left hand menu.
2. Locate the domain name you wish to point and click the “Details” link.
3. In the top menu, select “Nameservers.” A dialog box to set nameservers will appear.
4. Select “I will host my domains with another provider” and enter the new nameservers provided by your host in the first two boxes Nameserver 1 and Nameserver 2.
5. Hit OK and youre done!

It can take up to 48 hours for your nameservers to properly propigate throughout the internet, but in my experience with GoDaddy, the changeover happens within a couple of hours.