Have you consulted the godaddy help system? Given them a call?
It can be done.. it's all there in the domain management panel
Alternatively, delegate the domain to your host and setup the A record there.. or delegate to another 3rd party DNS service.. there are so many options...
Brad Baker www.rochen.com Rochen - True Premium Shared & Reseller Hosting since 2000 Better Support: Expert support 24/7 from Red Hat and Cisco Certified Engineers Joomla! Core Team MemberJoomla Tutorials