Export Import between two WordPress Blog Sites

At the moment I have a hosted blog with WordPress, but the host is possibly closing down in the near future. I have opened an non-hosted blog, also with WordPress, and understand that it is easy to export the site in its entirety and import it into the new blog.

I may be thick, but I am unable to find any import/export facilities on either blog site. Can someone please help me? You will realise that I am new to blogging! Thank you.

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