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You can use the afore-mentioned Plesk backup facility, and as this restores the entire account this is the recommended method.  You can manually take a backup of your site by copying the contents of your web space (usually, everything in the /httpdocs/ folder) and saving it to your computer.  You will need to take a seperate backup of any databases you have, too - this can be done through PHPMyAdmin, in Plesk.