WordPress.com is a wonderful platform and it provides users with an option to create free blogs without spending a single cent. However, a time comes when you might want to move to your own domain name which is a continuance of your WordPress.com blog.
A few days ago Jeff posted some links on steps to move

More at: http://weblogtoolscollection.com/archives/2010/02/18/migrating-from-wordpress-com-to-wordpress-org/