Kafele on "Wordpress on Godaddy"

Hi there. I used to use Wordpress.com when I realized I could customize without paying so much money and have plugins, I bought hosting through Godaddy. This was yesterday. I canceled my Wordpress.com blog and downloaded Wordpress.org 3.5.1 I installed wodpress on GoDaddy, however I am being taken back to Wordpress.com
I don't seem to understand the function on Godaddy. I changed my DNS and everything. I'm very confused and am in need of assistance. Can someone please help me resolve my confusion? Tutorials aren't helping.