You would have to goto the site where your domain name is registered with. I'm not sure what company GoDaddy uses for the domain. If you are not sure do a whois lookup on your domain name ( http://www.networksolutions.com/whois/index.jsp the registrar name) and it should tell you there.

You will also need to get the new Name Server's (DNS) from your new hosting company (there should be 2) to complete the transfer.

Goto the registrar's website and log-in to the site (username and password is usualy the same as your account from your hosting service unless otherwise specified by your hosting company). You than need to change the DNS server info to do the transfer. Also note that this may be locked, and if so you will have to contact the hosting company you registered the account with to get it unlocked.

Good Luck!