Sometimes, you may have a need for moving your WordPress blog from one "location" to another. For example, many people install their blog in a subdirectory on their main site called "blog" and then want to move it to the root directory:
Why? That's another story. See "How to Have a Static WordPress Website with a Link to Your Blog" for more on that.
Here's a nifty little article, directly from WordPress.org, that shows you exactly how to move your WordPress blog. This works equally well with regard to moving your blog within your own site or moving it from one webhost to another.
==> Moving WordPress
Another, better, safer, quicker–but more expensive method (i.e., it's not free)–would be to use WP Twin. It does all that is suggested in the article above and zips up everything into one compressed file that you can download to your PC that you can then place anywhere you please. Pretty cool.