Domain Names and Hosting
There are companies that specialize in domain name reselling. They may also offer hosting or offer some level of basic hosting along with the domain name. There are other companies that specialize in providing servers to host websites. To have a website you need a domain name and you need hosting.
If you buy your hosting from the same company from whom you buy your domain name much of the set-up may be done for you. Many people prefer to buy hosting from a hosting company and domain names from a domain name company. In doing this you will need to set up some areas with both services.
Domain Name Set-up
If you have purchased your domain name from a domain name reseller and you hosting from a hosting company you will need to go into your domain name account and make a couple of changes in your settings. You will need to do a 301 redirect and you will probably need to change the name servers for the domain.
A 301 redirect is a permanent redirect and sends any traffic to the location of your site. The name server has the full path to the location of your site on a particular server. Traffic is sent to your name server for the final bit of instructions to get to the actual server space that houses your site.
It will probably be fairly intuitive to make the changes that you need to make, but if you have questions they will probably be answered in the help section for your account. If you can't follow what you need to do you may need to call support with the company for help. It would be hard to be more specific because the exact screens that you see may be different from company to company.
Your hosting account will have an administrative area. Cpanel is the most common admin interface. This is the control panel for your hosting space. The hosting company may set up the primary domain for you. You may need to set up add-on domains if that is a feature of your hosting account or you can set up sub-domains for your account.
The tool that you will use in the cpanel will be the domain manager. There will be a dialog box interface that will allow you to do the things that you need to do. If you have problems the help file will have most of the answers. The hosting company support is there if you are really stuck.
You do have to change the name servers in your domain name account before you can add an add-on domain. The domain manager will create the directory on the server and send requests for the URL to that directory.