Connect wordpress.com with ww.wp.xz.cn?

Hello,
I just signed up for wordpress.com last night and I bought a domain name, as well.
I admit i didn’t (and still don’t) know much about wordpress, but I was researching and it suggested I download ww.wp.xz.cn, so i did.
I was just wondering how to connect my wordpress.com domain site to my ww.wp.xz.cn account?
I listed my site on my ww.wp.xz.cn settings, but the theme I’m trying to set up isn’t showing on my website, so i figured it was some sort of disconnection between the two sites.
Can anyone help me?
Thanks in advance!