I noticed that someone else asked this question and the moderator said to go to the .COM forum. Posting this in the .COM forum gets a robot reply that it belongs in the .ORG forum. I agree with the bot.
There IS NO third option in PRIVACY in the WordPress 3.0 install on GoDaddy, as there is on the WordPress.com hosted blogs.
So, again, how do I hide my site from visitors?