I have successfully set this up with GoDaddy. Below is the relevant snippet of wp-config.php. NAME, USER, and HOST are shown on GoDaddy’s “Manage Hosting Databases” page, which will require 3 curses and a lucky guess to find the first time. Since erik810 has apparently got this bit figured out already, I can’t really provide suggestions without some more info.
define('DB_NAME', 'mydbname');
define('DB_USER', 'myusername');
define('DB_PASSWORD', '*******');
define('DB_HOST', 'mysql5.secureserver.net');
