Select your database.
Go to export.
Click Go at the bottom of your page.
Copy and past the result into a blank page and save.
There are a load more options about if you want to have the database structure or just the data etc. Just give it a go with different settings.
To put the data etc. back just to to the SQL section and cut and past your code into the "Run SQL" box and press go at the bottom of the box.
Thats the simplest way I think; you can get other code which you can have on your server where when you visit a page it will backup you database to a folder on the server.