your best bet is to install the backup module that was described above,

then always make sure to backup before adding any module,

( hack is usually a dirty word for websites ) lol

once you have the backup module in place you can then do the DB backup from the ZC admin,

as for downloading your files,
yes it is always a good idea to make a complete backup on your desktop but this isnt something that you need to do often, since the files dont change on a daily basis