I use godaddy to buy my domains, I just change the nameservers to the ones provided by the host, usually are something like ns1.yourhost.com and ns2.yourhost.com. Your host has to provide these, sometimes they have more than 1 server or they give different names to them.
example
www.thextremeracers.info is hosted in x10hosting.com so my nameservers are ns1.x10hosting.com and ns2.x10hosting.com
after you change your nameservers you must wait a few hours so internet and ur ISP get to know this new dns