Hi I just had an idea. When you set your hosting account up, did you input the domain name you are using here? Or did you not enter a domain name, or enter another domain name? If you didn't enter your domain name into your hosting companies computer you'll need to tell your hosting account that you plan to use it with this domain. Assuming you have done this already, but if you havent you need to go into CPANEL (if you are using a host that supports cpanel) and setup an 'addon domain'
If you dont do this your nameservers wont do anything when they get requests for the domain from a remote computer.
The zone file is created when you do this, and is stored in your hosting companies computers. There wont be an active zone file on godaddys side, as it's the host that controls the zone file. The zonefile contains records such as where the mail server are for your domain, etc.