The domain name can be pointed at godaddy by using the custom DNS feature here. You will have to install the wordpress.ORG software at godaddy. They offer a installation script (either fantastico or simple scripts) that installs it and all you have to do is answer a few questions.
You then export your content from here and import it into the .ORG install at godaddy. During the import process you will be given the opportunity to have it move all your images and uploaded files over to your new installation as well.
Any content in text widgets or image widgets will not be moved over. Neither will the theme you are using. You will have to download and install the theme you want to use.
You can find more on setting things up on the .ORG wordpress installation here.