Problem with entering URLs for moving blog to Go-Daddy

I am having a problem finding the place where I put in my new domain name into the wordpress.com blog for backing up prior to moving my blog. When I contacted wordpress.com they said that it was a www.remarpro.com instruction and they could not help. When I put in the new domain name in places I could find the screen came back with telling me that it failed putting in the new domain because it did not direct the blog to a wordpress.com site. I need to put in the new domain name twice, back up, then upload to my new site, however I am stopped until I can put in the new site. Any ideas? Thank you.:) Debra Pflaum (I don’t know what version of WordPress I am using, but am using the Twenty Ten with 6 options for my theme. I am moving my blog to Go-daddy, but I see now that they are new and when I contacted them they didn’t all know what to do.)