I'd not be surprised if the Edward Jones stuff is front loaded funds. Those mostly suck, since they can underperform, but you're paying up front no matter what the performance is, and they'd have to perform REALLY amazingly well to make back a 5%+ fee taken off the top.
And no, your adviser is not helping you - they are profiting off you. They are not your friend, they are in the business to make money for themselves and their company... and they will not act in your best interests.
Sounds like you don't know much about investing. That's nothing to be ashamed about; I was in your shoes just over a year ago. And practically everyone makes mistakes in the beginning. ;)
You definitely need to get a basic understanding on how it works. Check out Jim Collins' stock series:
http://jlcollinsnh.com/stock-series/Opening accounts is really, really easy. You can call Vanguard, or do it online. Once you open a Roth IRA over there, you can ask them about transferring your Edward Jones account over as well. Usually that involves a few pages of paperwork, email them or mail them in and they'll take care of the rest.
As far as what you should be investing in, that's what you need to figure out your goals and write out and investment policy statement:
http://www.bogleheads.org/wiki/Investment_policy_statementand from there, decide on an asset allocation (AA):
http://www.bogleheads.org/wiki/Asset_allocationAs young as you are, going into a total stock market index fund (or at least weighting heavily towards that) would be beneficial to you since you've got a long time horizon until traditional retirement. But you could also manage an early retirement doing this as well.
Some good basic index "lazy" portfolio suggestions here:
http://www.bogleheads.org/wiki/Lazy_portfolios