Yes, there are normally two ways to do this. If your host offers the feature, as another suggested, you can add the domain name/"park" it through the admin control of your server host's site. Then they will tell you the server names to use which you will have to enter in the admin section of the site where you purchased the domain name so that all requests sent by browser for your domain name will be sent to the nameservers that will point to where your site's files actually are kept.
Another option, although generally not as good, is that in the admin section of the site where you purchased the domain name you can use URL forwarding and enter the URL where your files are and the browser is basically forwarded to where your files are.
But this leads to the option of URL Masking. If you have masking turned on then your domain name will stay in the location bar of the browser (like: http://www.bigrock.in ) even when they click on different pages within your site it will still show that instead of http://www.bigrock.in/page_being_shown.html . In my opinion masking just looks "unofficial" so I would suggest going with amir84's suggestion of declaring your server host's NS records.
weekendrockstar
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