Hi,
Step 1: Get the IP address you will be hosting the site on from your hosting company.
Step 2: Go to goDaddy and change the domain names DNS setting to point to the IP address.
Notes: GoDaddy might be handling the sites DNS settings ... or you may have to find out from goDaddy who is handling the sites DNS. DNS is short for Domain Name Server ... and it is the address book that tells the web WHICH server your site is being hosted on.
It's a lot to take in, but asking your new hosting company should give you the answers what you need to do do move the site.