2 options I know of….
1. Most hosting companies have a cpanel (control panel) from which you can create a backup zip file of all your files into 1 “gz” zip file.
2. Other option would be for you to use a free FTP program like FileZilla or CuteFTP to connect to and download all files, folders from your root folder on the host server.
I prefer #2 because I can simply FTP back all the files and folder in case 1 or more files get corrupt or something. Hope this helps !