Transferring wordpress.com with custom domain name to www.ads-software.com

Hi,
So I want to migrate to www.ads-software.com so I can customise my site. I registered my URL using wordpress.com (before I knew there was a difference between the two sites!) and have paid for a .com URL. There is nothing on the site so export doesn’t matter to me too much, unless it’s vital. All I want is to keep the URL and start using www.ads-software.com. I’ve set up an account with Blue Host and selected the ‘already have a URL’ option, but when I try to login to my wordpress.com site it doesn’t work. Do I need to do this?
Basically, how do I migrate my custom URL which was set up on wordpress.com, before starting to use www.ads-software.com?
Thanks so much for any help!