Is it mandatory?

First I took domain name then a hosting service with a different company. then I logged in to my c-panel and tried to install 1-click wordpress through Fantastico. It was properly installed but my website is not going to be open. When I contacted my webhost, they asked me that I should contact to my domain registrar and ask them to set my dns for my domain name.
I want to ask, is it mandatory to contact domain registrar for setting dns or not? Is it really related to my problem regarding wordpress?