First, you'll need to install WordPress from http://wordpress.org/ on your hosting provider.
Then, direct your domain to your hosting provider following this guide: http://en.support.wordpress.com/domains/change-name-servers/
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.
http://support.wordpress.com/com-vs-org/
WordPress.org has complete support and documentation sites for self-hosted/installed versions of WordPress at:
http://wordpress.org/support/
http://codex.wordpress.org/
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