VPS backup to HDD

Hey guys, I just have a quick question, since all of you are smart with this type of stuff.

I own a VPS, and I because I have alot of information on there, I want the backups to run via my HDD. Is this possible?

It doesn't matter if it's manually or automatic. I just want to know if there's a software out their that basically downloads my backups from my Linux VPS to my HDD via my windows computer..

Thanks for your help.

Sorry if this is in the wrong section.