I went here:
http://en.support.wordpress.com/export/#download-your-content
I chose 'all content', and the result was a 1.6Mb XMS file download.
Trying to open that XMS file in a browser results in the following error message:
XML Parsing Error: prefix not bound to a namespace
Location: file:///D:/Documents%20and%20Settings/Colin/My%20Documents/Downloads/wibble.wordpress.2013-01-14.xml
Line Number 563, Column 2: <atom:link rel="search" type="application/opensearchdescription+xml" href="http://pendantry.wordpress.com/osd.xml" title="Wibble" />
--------^
SNAFU?
The blog I need help with is pendantry.wordpress.com.