If exchange is already set up elsewhere (in this case godaddy), is there a document which shows how to configure it to work with CRM (as opposed to using exchange inside of office 365)?
The easiest thing to do would be to download the Outlook client addin for each user. The configuration process is as simple as entering the URL for the CRM server. So you really don't need documentation on the setup.
You can also set up the email router but this would be more difficult to configure. You can do a Google search for the CRM email router configuration. There are numerous blogs and Microsoft has documentation for this in the CRM Installation Guide.
The configuration could be complicated by the fact that Godady may be using non-standard ports that the email router would connect to.