Can I transfer my blog from WordPress.com?

Hi I am extremely new and ignorant regarding this blogging lark so please forgive idiotic questions..

I managed with a great deal of brain-pain to cobble together a blog on WordPress.com but now find I cannot upload a plugin to protect my content and read that this is only possible on a privately hosted wordpress.org blog. So my question is can I somehow transfer my current blog over to my privately hosted web space or do I have to go through the whole process of constructing the blog again (most of which I have forgotten and barely understood the first time) on the ‘new’ WordPress.org software?

Thanks
Simon