You just need to configure the domain name so that it points to your hostings nameserver.
If you purchased the domain and hosting from the same place, its probably already hooked up and you just need to upload an index.html file. Sometimes it can take up to 2 days for the DNS to propagate.
I was trying to help out my Dad's company (it's a small business) by building them a website and setting it up. Unfortunately, they didn't want to go with any of the webservices I am familiar with and would be easy to edit. I'm sorry if this is in the wrong forum but I'm hoping one of you guys can help or direct me somewhere, I'm a little desperate. I managed to figure out how to access the space they bought through an ftp client. But I have no idea how to link up the domain name they purchased to the space where I stored the site. thanks! please help ^_^