In order to use a domain name, you need to have authorative name servers that answer DNS queries. In most cases, the place you choose to host your site at will handle DNS. If you'd like to do it yourself, you'll need to setup at least two authorative name servers, setup a zone file and then make the registry modification. You could also look into a place like
http://www.zoneedit.com/ to handle the DNS part for you.
--jeremy