Trouble converting WordPress.com to .org

I decided to change from .com to .ORG and I am through BlueHost as my domain host. Then I downloaded the ww.wp.xz.cn file on my computer. As I am through my .com/wp-admin login. I am in my dashbooard area It still has the wordpress.COM basic features. I want to upload a new theme I found. Is there anything I am missing? Where did something go wrong in the process?

Yes I did go through simplescripts and the wordpress icon in the bluehost tools. How can I play around with the .ORG features with my blog???