I take it you have a GoDaddy account.
Go to the Control Panel and check the MySQL (which is a database. whouth getting too technical, this is a database you site data is stored and retrieved from).
There you would need to create a new database (say, 'mydatabase'). Check its name - in most cases it is your_user_name_at_Go_Daddy_ mydatabase.
Then you have to create a user, say, 'megauser'. Check what is created - in most cases this would be your_user_name_at_Go_Daddy_ megauser. You can either create your own password or use the suggested one - your choice.
After that you have to add user to database created. Easy drop-down menu will help you with that (grant All priviledges).
===
So lets assume, that you username with Godaddy is pepperdiva and your site address is pepperdiva.com.
If you have followed the instructions above, you should
(1) create database and user as noted above
(2) add user to database
(3) check pepperdiva.com
There you would be offerd to enter this information in the forms:
pepperdiva.com - is the address
pepperdiva_ mydatabase - is the MySQL database and
mydatabase_megauser - the user
password - as the above.
That's it!