To link a domain registered with one company (in your case, WordPress.com) to another company's hosting (in this case, Go Daddy), you need to change a setting for the domain name which is done on the first company's side. What you need to change is the set of nameservers assigned to the domain.
So, first, make sure your hosting account is setup on the Go Daddy side. Then find the nameservers for the account - you can follow the instructions here ( http://x.co/pZjL ) or call Go Daddy Support for the info. Once you know what nameservers you should be using, log into your WordPress.com account and assign them in the domain management area. WordPress has a help article that explains how to make this change - http://en.support.wordpress.com/domains/change-name-servers/
Just be aware that it takes some time for a nameserver change to take effect. Technically, it can take up to a couple days, but it's usually much much faster than that.
Hope that helps.