I bought a domain from GoDaddy.com, after a while I realized they wanted you to pick a template and design. I know it allows you to put some html code into it but I want to know how to build my site with my own code and not have to use their templates.

Static HTML/CSS/JavaScript is pretty easy to learn and there's certainly a ton of books and on-line resources on the subject. O'Reilly (http://www.oreilly.com) has some of the best reference books around In my opinion. Here's my personal favorite:
O'Reilly Media | Dynamic HTML: The Definitive Reference (http://www.oreilly.com/catalog/9780596527402/index.html)
(That's a reference book though, it won't really tell you how to setup a web site)

This is a high level perspective of what you'll need:
You'll need an editor. I would avoid wysiwyg editors like Front Page if you want to learn the guts of coding web pages. I don't use it a lot but MS Web Developer Express is pretty decent, it will setup a local web server for you and it does some code completion. It's also great for debugging JavaScript issues.

Depending on your hosting service (GoDaddy) you may need an FTP client to transfer the pages from your computer to the server. WebDev express may be able to help you with this, I'm not sure. Otherwise there's free FTP clients out there that you can download.

Dig around online and find a book or web tutorial that you're comfortable with, you can develop the pages on your local PC and then when you're happy with them you can can upload the pages and images to your host.

Once you get over the initial learning curve it's pretty straight forward.

I mean I know the languages, but how do I build the page myself, there's no place on godaddy.com about doing this, and their customer service people are idiots.

Did you buy a hosting account too? You have to have a web server to put your page on; either your own, theirs, or Bob's All-Night-Hosting down the street. If you have a hosting account, they have a Getting Started Guide (http://products.secureserver.net/guides/hwindows_guide.pdf) that explains uploading content.

So that's how they get your money. Thanks.

Sorry for the mis-understanding...

I have a client that uses GoDaddy and I use my own FTP client to upload the work I do for them. GoDaddy does have a built in Web-FTP client on their web site.
To get to it:
Log in.
Under the Hosting & Servers menu item select My Hosting Account.
Click Manage Account. Their control pannel will open in a new browser window.
Click Content
Click FTP Client.

Sorry for the mis-understanding...

I have a client that uses GoDaddy and I use my own FTP client to upload the work I do for them. GoDaddy does have a built in Web-FTP client on their web site.
To get to it:
Log in.
Under the Hosting & Servers menu item select My Hosting Account.
Click Manage Account. Their control pannel will open in a new browser window.
Click Content
Click FTP Client.

Except I have to purchase a hosting account in the first place, no wonder the domains are so cheap.