Well, I don't know godaddy, so I can't say, but usually, all the registrar up there have personnals DNS servers.
What they are telling you, is that now that you have buyed that domain, you must tell them where are the DNS servers who will hold the informations abut your domain servers.
You should have place in your account area where you can add hosts to your domain.
They sometimes reffer it as creating a domain zone, or dns zone.
You nedd 2 things in your zone.
1) one A record, which will map your domain to a physicall IP adress. This will be your site main adress.
2) one or as many CNAME records. CNAME (Canonical Name) are shortcuts to an A record. So, you create the CNAME records you want, and make them point to the A record.
In last resort, if you don't succeed in using godaddy interface, I have used
http://www.pmsdns.org in the past to handle the DNS myself.
You can subscribe there free, add a new domain, enter the A and CNAME records.
Once this is done, and only once this is done as often the registrar check the dns before allowing the dns to be declared, declare the servers ns1.pmsdns.org and ns2.pmsdns.org in your domain DNS servers.
Then, any request to your domain name will redirect to your server.
This was my old zone, for exemple:
For the record, an MX record is for defining a mail server.
If it's not defined, it will point to the same server than your catch all A record (the first one, in this pic)
