This is actually pretty simple (lucky for you)!
- Log into Feedburner.
- Click on the name of the feed for your web site to get into its Dashboard.
- Look for the Edit Feed Details link near the top of the page.
- Change the Original Feed setting to the URL for your new feed (if it's a Wordpress blog, simply append "/feed/" to the end of your URL).
- Click the Save Details button.
It should automatically "reburn" your feed for you using the new URL. If you're switchng to WordPress self-hosted, you'll probably also want to install and configure the FeedSmith plugin
to ensure that people who subscribe to your new blog get your Feedburner burned feed rather than your blog's default feed.