backup database

I have “backup database” in my wordpress dashboard. All I have to do is hit a button and it backs up the database in 5 seconds. I know that wordpress.org has an article with instructions for backing up the database. Is it just as good to use the quicker method as it is to follow the instructions and go into myPHP and follow the rest of the instructions in the article?
Also, I’m not sure how to backup the database off of the server, such as into my documents??

Thanks!