Exporting my .wordpress.com blog to a co.za self hosted blog

Please help!

I am trying to move my blog over from a .wordpress.com to a self hosted .co.za blog. I can export the data from the old blog into an xml file. Then when I try to import it into the new blog it gives me an error: Sorry, there has been an error. This file does not exist, please try again.

I am using twenty fourteen theme.

Please help? How can I easily import from the old blog to the new?