Assuming you already have a DNN installed on the root directory running on Godaddy at currentdnn.com:

1. Decide on what type of domain name you are adding.  New domain (newdomain.com) which you also own (or are willing to buy of course) or a sub-domain (sub.currentdnn.com)
2. Go to Domain Management in the Hosting Manager and add the domain to your hosting site.  For new domain, should be in the pull-down at the top where it says < enter domain name >.  For sub-domain, click on Add Sub Domain under Primary Domain on Hosted Site.  Either way, point it to the root directory.
3. Go to your DNN site, log in as host, and go to Host-->Portals.  Click Add New Portal
4. Portal type Parent
5. Portal alias newdomain.com or sub.currentdnn.com
6. Add title, description, admin user info, etc.
7. Click Create Portal.
8. You're done.  You should be redirected to your new portal.  Note - DNS may take some time to update, so you may not be able to get to it right away.

That should get you on your way