Your site holds all of the code for Zen Cart that runs your database which holds all the data for all of your products ...

The site you manage with FTP ...

The database you manage with phpMyAdmin ... or something like the Backup MySQL add-on that we created to make backups in the Zen Cart Admin that would be placed in your:
/admin/backups

directory that you can then download via FTP to your computer for safe keeping ... in addition to the copy on your site ...