A website includes two important, unique elements: Hosting and Domain Name. Hosting is the server your site is on, and the domain name maps a web address to that server's IP address.
Some services bundle these together into one, although they are unique elements that work together, but are managed separate from each other. Regardless of where your website is hosted, the Domain Name will need to be setup with a domain "registrar" like GoDaddy or Network Solutions (I prefer GoDaddy for my domain name needs). Once set up, the domain name needs to be updated to point to the hosted site, this is done by updating the "Nameservers". The specifics of how this is done varies from host to host, but usually looks something like this:
Nameserver 1: NS1.HOSTURL.NET
Nameserver 1: NS2.HOSTURL.NET
Refer to the instructions your hosting provider gave you upon sign up for specifics.