Moving Content from One WordPress Blog to New One

Hello All,

I’ve purchased a URL and set up my blog on the server I’m leasing. I want to move the articles, categories, blogroll, links, comments, media, uploaded files, etc. from my “wordpress.myblog.com” to “www.myblog.com” Is there an easy way to save the content on my “wordpress.myblog.com” to my local machine and then upload it to my new blog?

Thanks.

Dahna