Since the people asking this question have already bought their own domain name, I will proceed on that assumption.
A web host is basically a company that has specially configured computers that are permanently connected to the Internet. They allow you to place your website on their system (usually because you are paying them a monthly fee to let you do this) so that it can be viewed by others on the Internet.
If you don't have a web host, you'll need to sign up for one before you can point your domain anywhere. For this article to be relevant, your web host must allow you to use your own domain name for your site, which is the case for all commercial web hosts (as far as I know).
The first thing you'll need to do is to find out the list of name servers used by your web host.
"Name servers", or "DNS servers", loosely speaking, are the things that will translate your domain name to the actual location of your website. A little example will make this clear. Let's say you type a domain like "thesitewizard.com" into your web browser. In order to display the website associated with thesitewizard.com, the browser needs to know the real address of the site. Appearances to the contrary, the Internet does not actually use names for addresses, but series of numbers, like 127.0.0.1, called IP addresses. Name servers translate the domain name you and I use to the actual numeric IP address used by the machines on the Internet.
When you sign up with a commercial web host, they will configure their name servers so that it will furnish your website's real IP address when there is a query for your domain name. As such, in order for your domain to be found on the Internet, you must link your domain to your web host's name servers.
(There's a bit more to this than that, but I'm sure you're not here for a long boring technical lecture on how things operate on the Internet. Suffice it to say, in order for your domain name to resolve, a lot of different name servers are involved, including your Internet provider's name servers, your registrar's name servers, your web host's name servers, etc. Don't worry. Much of it is automatic. All you need to do to make it all work is given below.)
The easiest (though not necessarily fastest) way to find out the name servers used by your web host for your domain is to ask them. A faster way is to look for the information yourself in either the email sent to you by your host when you first signed up with them, or from the documentation on your web host's site. If you have no idea where to get the information, contact your web host and ask them for the "DNS servers" or "name servers" to use for your domain.
The list of name servers will often look like ns1.example.com, ns2.example.com, and so on, where "example.com" will probably be replaced by some other domain name used by your web host for their servers.
Your web host may give you 2 or more name server addresses. Note down all these names. Better still, keep the email or web page containing these names open on your computer so that you can cut and paste them later. You'll need to enter these names, exactly as given, into your registrar's system.
Once you have the list of name servers, go to your domain name registrar and log into their system. You will obviously need the login name and password that you created when you first registered your domain.
Once logged in, you will need to look for some option to either set your domain's name servers or change them. Every registrar has a different way of doing this, and there is no standard method, so it's not possible for me to give you a detailed blow-by-blow account of how to get to the appropriate screen. (Even if I did, my description will quickly become out-of-date since registrars, like all webmasters, change their site design every now and then.) What I'll do instead is give you some idea of what to look for.
In general, try the following to get to the page on your registrar's site that lets you modify the name servers:
Find a way to list all your domains in the registrar's site. Sometimes this can be found in a "My Domains" page, or a "Domain Manager" page, or something similarly named.
Select the domains for which you want to set the name servers. Sometimes this involves checking a box beside your domain name in the list of names. Alternatively, if you only have one domain name, you may even be able to click the domain name to get to the settings screen.
Some registrars have a "Manage DNS" menu link, or a "DNS" button, or a "Nameservers" button. If you see such a link or button, that's probably the one that you will need to click. Basically look for things that say "DNS" or "Name Servers" or "Nameservers", whether to "set" it or "change" it, or "manage" it or some other thing.
Once you manage to find the correct page to change your name servers, you will probably see a form that lets you enter things like your "Primary Name Server", "Secondary Name Server", "Tertiary Name Server" and maybe even more (like a fourth, fifth and sixth name server as well). The exact words used may not be the same, but it should mean basically your first name server, second name server, and so on.
Put your first name server from your list, usually the name beginning with "ns1", into the "Primary Name Server" field. Then type your second name server, the name beginning with "ns2", into the "Secondary Name Server" field. And so on. A domain name should have at least 2 name servers associated with it. Some web hosts give you more, others only 2. Some registrars allow you to enter up to 6 names, others only 2. If you only have 2 nameservers to enter, but your registrar gives you 6 fields, just enter the first 2 and leave the other fields blank. If you have 3 nameservers to enter, but your registrar only allows you to enter 2, just enter the 2. Don't worry about the fields you didn't get to use, or the extra name servers that your web host provided that you couldn't enter. Your domain will work fine without those extras. They are there to provide a bit of redundancy, so that your site will still work if the first name server fails.
If you cannot find the place to set your name servers, or you don't want to just blunder around the registrar's website looking for the correct option to try, look for the "Help" or "FAQ" documentation on your registrar's site. This is such a basic procedure that everyone needs to do that they are likely to have some sort of guide on their site, if only to avoid having to answer the same question over and over again from their customers.
At worst, if you are completely lost, and dare not poke around in the registrar's site because you're afraid you'll change something you shouldn't, write to the registrar to ask them for help. Don't expect a fast reply though. Some of them take days to reply, and often only to point you to the relevant documentation on their site. As is the case for many other things, if you want something done fast, you'll need to figure it out yourself. Hopefully the tips in this section will give you enough information so that you know what links/buttons to look for and click.
Once you've set your name servers, you're done. Yes, you read that right. That's all there is to it. You'll have to wait a bit, though, before you can access your website using your domain name. Just because you set it at your registrar level doesn't mean that the rest of the Internet knows your domain has a new address. It takes a while, sometimes up to 2 or more days for every machine in the world to catch up with the changes.