Well firstly, you need to actually upload your site files to the GoDaddy server if you want GoDaddy to host - have you already done this and have you purchased hosting from GoDaddy? If not, you need to do this first and then upload your files to the server.
All you need to then do with your domain name is log into your MobileMe account and delete it from the Personal Domain name settings. You then need to go to your domain name registrar and cancel any forwarding that you have in place - this will either be CNAME forwarding in which case you need to go to the DNS settings and cancel your CNAME settings - here your domain name would be forwarded to web.me.com - just cancel this and revert to normal. You may have webforwarding in place, in which case, just go to the web forwarding section and cancel the web forwarding that you may have.
Normally if your domain name is registered elsewhere and your site is published at GoDaddy, all you need to do is alter the namesevers to that of GoDaddy so that your domain name points to your website - to find GoDaddy webservers, log into your hosting account at Godaddy or contact their customer support for help - it is not an iWeb problem.
You can erase your site from MobileMe, by going directly to your iDisk and deleting it form there - log into your MobileMe account and then go to your iDisk.
Remember though that you need to have published your site elsewhere, so upload your files to a new server before deleting from MobileMe - if you don't do this, you will have lost your site altogether.