As Anacrusis said, you need to register a domain and find a web-host.
You could get a domain from something like namecheap.com. You can then control where it resolves to - i.e. the nameservers. Your host will give you nameservers like ns1.yourhost.com and ns2.yourhost.com.
The easiest (and cheapest) way to do this for beginners, has got to be a host like http://www.ahosting.biz.
Enter your desired domain name in the "Domain name registration" box on the first page, and set up an account so you can buy the domain.
The domain will automatically be given nameservers, so that's one thing less to worry about - I like that feature.
Then, order hosting from their "web hosting" page, leaving the nameservers as they are.
Voila! After 24 - 48 hours (after the main domain name server [DNS]) has updated, you'll have your own domain and web-space. You will be sent your login details, so can login at yoursite.com/cpanel.
Of course, you don't have to use ahosting. I just recommended them because they offer domain registration as well as hosting, so it's easier for you, as well as reasonably priced hosting.
Good luck!
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