If you want to use plugins you will need to move to a self-hosted WordPress.ORG site, yes. That means moving your site - this explains more:
http://en.support.wordpress.com/moving-a-blog/#moving-to-wordpress-org
Setting up hosting is the first step - see: http://wordpress.org/hosting/
If you are confused about .com vs. .org see:
http://en.support.wordpress.com/com-vs-org/
