I have created a heroku application and wants to give domain to it from godaddy.com.
I have configured all three hosts provided by heroku but now I am getting error
There are 2 steps you need to perform,
You can read more about this at http://devcenter.heroku.com/articles/custom-domains
At a guess you've missed out the first step perhaps?
UPDATE: Following the announcement of Bamboo's EOL proxy.heroku.com being retired (September 2014) for Bamboo applications so these should also now use the yourapp.herokuapp.com mapping now as well.