Incredibly confused about mx records for GoDaddy domain name

I have a blog with WordPress, but the domain name is registered with GoDaddy. When trying to set up a new email address with the domain name, GoDaddy says the following:

“It appears you have set your domain name to use third-party name servers to use their hosting account. You need to set the MX records on their name servers to point to our mail servers to use our E-mail accounts here before you can setup an E-mail address. You will need to contact your hosting provider and have them add 4 records to the zone file for your domain name.”

Then they give me the records I have to change. I can’t find where to do this. Any help would be appreciated. I tried to find this topic searching the forums but couldn’t find one that answered this specific question.