Migrate blog posts

I feel like an idiot asking this, i am helping friends move their blog from wordpress.com to their self hosted site. They are hosting through fatcow and while I now have wordpress installed there I am not sure what my next step is as to getting their blog posts from their wordpress.com blog over to their self hosted one. I am not even sure if i am logging into the right place, I am not a wordpress user so please use simple easy to follow terms.

When i go to their site after i point the thing to the right place I see a dashboard that looks exactly the same as the wordpress.com dashboard so i am really hoping i am doing this all right but begging for help.