This process consists of 2 steps:
1) Backing up the files.
First of all you need to connect to your server through the FTP: viewtopic.php?f=17&t=559
After that you need to download all the files to your computer. If you want to download only the contents generated by your members you need to copy only one folder: _files.
2) Backing up the database.
You need to log in to the database manager PHPMyAdmin:
Then click on your database:
Then click Go:
Save the database anywhere on your disk.
That is it, now your website is backed up on your local machine.