GoDaddy uses SQL Server. Because they don't allow remote connections, there's a bit of work involved in keeping your two databases in sync. But it can be done. You basically have two options (there are more complicated ones that require coding):
Option 1: Use GoDaddy's point-and-click tools to recreate your tables (fine for a small number of tables, tiresome for a lot)
Option 2: Generate a SQL script from your local database (one that has lots of "create table" statements) using one of several tools available (not Visual Web Developer itself). Copy-and-paste the contents in to the GoDaddy query tool
If you're using SQL Express as your local database, then be aware that the database connection in your live web.config file will be different to your local environment. I've put together a document on what needs to change for shared hosting using SQL Server with some hints at where to find the information you'll need.
http://www.salmontraining.com/SqlExpressZone/Articles/why_the_development_config_file_wont_work_on_live_shared_hosting_with_sql_server.aspx
Margaret
Articles & Training for SQL Server and ASP.Net 2.0
Check out our tutorials for going live on GoDaddy