First - pick a domain name and see if it is available, if so purchase it (they are only about 8 bucks a year).
Go Daddy can help you out with the domain and purchasing.
Second - When you sign up with a hosting company (such as GoDaddy) they usually give you free software to begin building your site. Some even give you a basic site (again GoDaddy does this). Using this software, build your site.
Third - use the sites technical support for help. They will help you get the site running. GoDaddy runs linux servers, so when you get to the point of wanting to implement your own PHP, Perl, CGI, Shell scripts etc, then come back here for help!!
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