Will i have to pay a penalty for moving my IRA over to a different company.?

Currently I have a very small IRA at Merryll Lynch. Since the executives at Merrill are getting million dollar bonuses while I lost about $ 4000.00 in the past 6 months, will I now get penalized if I let them know I want to move the IRA away from them? Did President Obama, during his campaigning, resolve that people would be able to withdraw their money without paying a penalty?