If you're interested, we do offer an upgrade called Guided Transfer (available in the Store section of your blog's Dashboard) where we take care of everything for you: http://en.support.wordpress.com/guided-transfer/
Otherwise, you'll need to install WordPress from http://wordpress.org/ on a hosting provider. We have some recommendations at http://get.wp.com/hosting/
Then, change your domain's name servers to point to your hosting provider.
Once that's done, you can move your content following this guide: http://en.support.wordpress.com/moving-a-blog/#moving-to-wordpress-org
To clear up any confusion, WordPress.com and WordPress.org are two different entities.
WordPress.org has complete support and documentation sites for self-hosted/installed versions of WordPress at:
We do offer yearly and one-time premium support packages for self-hosted WordPress sites through our VIP program, available at http://vip.wordpress.com