Don't worry, I remember setting up my first web site oh so long ago. I was just about as confused as you are (was using Godaddy's old service).
I think you may want to call GoDaddy and ask them to explain their whole website builder if thats what you intend to use.
If you don't want to code and just want to use that, there's not much to understand. Just log into your control panel and do it!
Let me know if you need any more help.
-Jeff