To start off with you need to go over to Google reader
Jump to the setting panel that looks like this (top right corner)
From here you need to go import/export tab then the download your data button
Hit the create archive button and you are sorted
Make sure you download it as a Zip file and you can import it
There are easier methods to switch over your Google reader account such as getting a Feedly account (Which connects directly to Google reader pulling across all of your data).
If you have any questions just drop a comment below