If I understand correctly, you have a domain name that was registered through your WordPress.com account and you used to also use WordPress.com for your blog. You now want to use Go Daddy to host the blog using the same domain name that is managed at WordPress.com.
My best guess is that you still need to change the nameservers for your domain name to point to Go Daddy's nameservers. To do this, you should follow these steps:
1. Determine the correct nameservers for your hosting account at Go Daddy. This guide tells you how to find them - http://x.co/gkLy
2. Go into your WordPress.com domain management area and apply the nameservers you collected in step 1. This guide tells you how to do that - http://en.support.wordpress.com/domain-mapping/domain-management/
After you set the nameservers, your domain name should be properly linked to your hosting account. Note, though, that it can take anywhere from a few minutes to 48 hours for the nameserver change to take effect across the globe.
If this isn't the solution to your problem, you may want to reply with the actual domain name you're using so we can take a closer look at what's really going on.
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