you will need to export the database from your local MySQL Server, the import it to the MySQL Server on GoDaddy.
I found this page through Google which has instructions for backing up a database and restoring it in PHPMyAdmin:
mysql-database-backup-restore-phpmyadmin.php
you will need to edit the Connections/PowerCMSConnection.php file with the information for connecting to the go daddy database server, then upload the entire site.