The backup program under the "Admin Only" area will allow you to backup the database. After backing up you will see the backup tarball in your geeklog/backup directory, from where you can download it to your hard disk using ftp.
You would also find at least one other backup plugin in the "Downloads" area of this site which allows you to backup directly to your hard disk without having to pick up later using ftp.
Another way is to use your systems control panel like, CPanel, to backup. Or export it from PHPMyAdmin. Planty of choices!
Hope this helps.
Sam