1) On your PC create a website, using Microsoft Visual Studio.
2) Use Membership and Role Providers in ASP.NET 2.0. This will create a SQLEXPRESS database and attach it to your [running] SQLEXPRESS 2005 server. (MSDN2)
3) Copy the data from the local ASPNETDB.MDF to your SQL 2005 server on the Godaddy site. (Use Server Explorer and select Publish to provider. steps to follow).
4) In web.config change both your LocalSqlServer (which points to the Membership and Roles tables) and any other connection settings you may use to point to the Godaddy SQL server.
5) Copy Web Site to upload your files. NOTE: Don't copy your App_Data folder, as this is your local data, which the SQL 2005 server will replace.