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



