not able to import a wordpress blog

Hello,
I need help.
I had a free blog at wordpress.com. Than I got a .com domain with bluehost and they said it would be realy easy to transfer my blog completly over to this bluehost account.

I set up the wordpress and did the thing with export from old one. log in to new account and import .. but than it keeps saying:
Invalid file
Please upload a valid WXR (WordPress eXtended RSS) export file.

put that is the one that i just had exported from the old account.

so i started over using the same theme “andrea” and started to set everthing up … but now. after a verry long night. I can′t change the bannerpicture, instead I have a little symbol up there which I don′t want to have. Also can′t I add any slideshows as I was used to do it on my wordpress.com blog

PLEASE can someone help me sort this out ???