Hosting a domain - but not using plusnets nameservers.

[#1]

I've registered a domain through godaddy.
I'd like to host this on my webspace/cgi, but would ideally like to for various reasons not use plusnet for nameservice.
Is there any way to setup my webspace, or CGI space, so I can simply point a domain at the IP of the web/shell server, and have it 'just work' ?
(I'd like to use SPF, so I can specify hosts that are authorised to send mail, which as I understand it plusnet doesn't yet allow, and also have some flexibility in case my plusnet account goes wrong for any reason.)
Thanks!

[#2]

I assume by webspace/ccgi you mean your plusnet webspace and not your own web server running on your ADSL line.
In order to use a domain on your PN webspace it must be hosted and known to plusnets name servers.
PlusNet do not support SPF on their nameservers.

[#3]

PN has 2 of my domains in their hosting records but my nameservers are pointed to DNS records hosted by www.dnsmadeeasy.com These contain A records that point back to PN.
I also have added SPF records for my mailserver as well as the IP addresses for PN mail servers as I have to use these to send to AOL and Hotmail accounts.

[#4]

Then you are fortunate and at some point your domains will be removed as they don't exist in PNs name servers.