Hi Jane,
I've done a number of installations on GoDaddy. The biggest/only drawback to their service is the fact that you can only send 250 emails per day, per account, which is not at all optimal for ListMail. If your lists are larger than 250 (They probably are) you will likely want to find alternate hosting (I can suggest a few options). You may also, of course, want to attempt an install on GoDaddy, for the experience, before jumping hosts which is a small challenge in itself.
The values you need are the MySQL server hostname, a database name and a username and password. If you cannot specify the database name yourself from within your hosting control panel it should be shown somewhere in the databases section. You might also need a custom hostname, which should be shown if so.
If you continue to have troubles I recommend browsing the available documentation on databases in the GoDaddy knowledgebase, contacting GoDaddy support or purchasing
paid ListMail support where I login directly.
Regards