Hi, welcome to the forum. First of all, make sure you actually need the whole dedicated server for yourself (if your site is heavy and requires dedicated resources). Dedicated servers are more expensive to maintain, even then Virtual Private Servers. May I ask why you went for a dedicated server, because you do not sound like you actually know what to do with it. Sorry if I sound out of line... Not meant that way. 🙂
To transfer your domain:
1. Find out what the nameservers of your domain should be from your hosting provider. Usually they have this look:
NS1.DOMAIN.COM
NS2.DOMAIN.COM
2. Log in to your GoDaddy.com account
3. Select the domain to be transfered (make sure it is not locked)
4. Click on "Set Name Servers"
5. Proceed to changing them to the required names.
6. It takes up to 72 hours sometimes for the domain to propagate.
Best,