Your domain needs to point to wherever you are now hosting your domain.
That is, update the Domain Name Server (DNS) setting in the registrar account (e.g. Godaddy, Name Cheap, WordPress.com(?)) or wherever your domain is registered).
You need to get the DNS settings from your hosting service. That is, what is the name or IP address of the server where you domain now lives. Your registrar service and hosting service need not be the same company (e.g. I use Godaddy for domain registration but I use other hosting services).
Before changing the DNS for your domain, you need to export (from the old location) any existing content that you want to move to the new hosting location.
If you have content on WordPress.com the export function will
export all of your posts, pages, comments, custom fields, terms, navigation menus and custom posts.
The export option is in your Dashboard under the Tools menu. You can then import it into your new installation once you can get to the “new” Dashboard.
Make sure you also take note of whichever theme you have selected on WordPress.com so you can then install and select that same theme in your new installation.
After getting you site setup at the new location, you need to consider whether you have to change Permalink options (to define post/page slugs and ultimately the format of URL’s) and you may need to do 301 redirects…depending on whether the permalinks from your content have changed.
And any links to your own content that you have embedded in posts might have to be converted. There are plugins that will do this.
I will expand on these details as you wish and as you progress.