DNS Management

Just because you registered a domain name doesnt mean it "points" anywhere. When you are researching domain name registrars make sure you look into their domain name management services. Make sure they have them! Through these services you will be able to specify which server your domain name points to usually through a web interface. If you decide to change hosting providers all you have to do is move your files to the new host and tell your domain name to "point" to the new hosting provider. This is easy if you are managing the domain name, but it can be frustration if the hosting provider handled this for you. They may have gone through a third party or not have registered you as the owner. You will then be at their mercy. It is good to register it yourself to avoid this.

It might be worthwhile to run your own Name Server if you are planning on managing a lot of domain names. How this is done is beyond the scope of this website but there is a lot of information on how to do this on the internet. The most popular Name Server software is BIND for Linux. The documentation for BIND can be a little overwhelming at first. A search on google for BIND tutorial will turn up some good resources to get BIND up and running.
Click here for help setting up a DNS server on Microsoft Windows.