As auxclass has posted the relevant links you will now be aware that there is no advertising allowed on free hosted wordpress.COM blogs and that means you will require a wordpress.ORG install and a web host.
Below are helpful links for hiring web host and setting WordPress.or, uploading a theme and plugins, prior to doing your exporting your blog content and Links (blogroll) from your existing WordPress.com blog and importing them into your new WordPress.com install.
codex – getting started with WordPress.org http://codex.wordpress.org/Main_Page
web hosting http://wordpress.org/hosting/
themes directory http://wordpress.org/extend/themes/
plugins directory http://wordpress.org/extend/plugins/
support forums http://wordpress.org/support/
The instructions found here are for exporting your content out of your WordPress.com blog and importing it into your WordPress.com install. > http://en.support.wordpress.com/moving-a-blog/#moving-to-wordpress-org
That file will contain your posts, pages, comments, custom fields, categories, and tags.
Your Links (blogroll) must be separately exported and there are two methods you can choose from. The instructions found here are for exporting your Links (blogroll) out of your WordPress.com blog and importing it into your WordPress.com install > http://en.support.wordpress.com/blogroll/import-export-links/
Best wishes with your move and new WordPress.org install. :)