I'd suggest contacting Vanguard to fill out forms and get your IRA moved there. They can handle the transfer, and then you just need to pick the fund(s). You could go with a "target retirement" fund to make it easy.
At Vanguard it's hard to make a mistake. The fund expenses are low because the people who invest at Vanguard are automatically also shareholders. There's nobody but the investors to benefit from fees, so they stay low. Many other companies like Merrill Lynch have shareholders, and they need to make a profit of you to pay shareholders a profit.
You could also setup your IRA as Schwab or Fidelity. Both have low fee funds, but they also have higher fee mutual funds. So you need to be more careful if you move your IRA to those companies, but you can definitely find low cost funds there as well.
Look up "rollover IRA" at the company you prefer, and let that company handle the transfer.