Hi Natalia, I assume you mean you plan to move your blog to a self-hosted WordPress install on a different server.
You will need to purchase web hosting and set up your new WordPress install on another server first. Check out the codex article on wordpress.org about how to install WordPress yourself: Installing WordPress
You can get further advice on the install process from the support forums at wordpress.org.
Once your new installation is set up, you can export your content from your current blog, and import it on your new site. There is no ftp or database access on wordpress.com for this. Instead, you use the instructions here: Export Tool
Here are a few more helpful links:
Moving a Blog to WordPress.org (self-hosted)
Guided Transfer is available as a service for purchase.
If you registered your domain with wordpress.com, you may decide to move your domain to another host.
If your blog has followers, you should move your subscribers as well.