To point the domain you registered at WordPress.com to another server (hosting service), please follow the instructions here:
http://en.support.wordpress.com/domains/change-name-servers/#changing-domain-name-servers
Note you will need to obtain the name server values from your current host. You should be able to find them on their support documentation, or contact them and ask for the information. (Name servers may be referred as "nameservers" or "NS records" instead.)
This guide explains how to transfer the domain name to another registrar.