Actually you need to backup a bit. Wordpress.com is a blog hosting site, like Blogger. The support pages you are reading are for the people who have their blogs hosted at Wordpress.com
The documentation you need to be reading is at http://codex.wordpress.org/Main_Page and on the relevant page http://codex.wordpress.org/Settings_Privacy_SubPanel one can see the feature you want is not available.
However you can probably do want you want with a plugin at http://wordpress.org/extend/plugins/social-privacy/
To use the plugin though you will need to either perform an "advanced mode" one-click install or install WordPress manually.