MODERATOR NOTE: THIS INFORMATION IS NOW OBSOLETE!
GoDaddy has finally changed their systems to no longer require a proxy for CURL activity.
In fact, now if you have the CURL Proxy settings enabled, you will have difficulty connecting to PayPal and other services.

Ref: http://www.zen-cart.com/forum/announcement.php?f=149&a=10
and http://help.godaddy.com/article/4764

Setting up CURL on GoDaddy
(because PayPal and other modules require it)

A. Go to Admin->Configuration->My Store

1. set CURL Proxy status:

cURL Proxy Status
Does your host require that you use a proxy for cURL communication?

• True
  -** False** NOTE: GoDaddy needs this set to FALSE as of September 2008

2. Set the Proxy Address of the Proxy Server required by the host. In GoDaddy's case, their default is listed:> cURL Proxy Address

If you have a hosting service that requires use of a proxy to talk to external sites via cURL, enter their proxy address here.
format: address: port

NOTE: These settings were removed from Zen Cart v1.5.0 because they should never be enabled.*