An FTP program can serve you well in this situation. You can use such a program to download all relevant WordPress files from the web host to the local disk. There are so many free FTP programs that you can use for this purpose that you will never face even the slightest of troubles backing all the website content up.
The wp-content directory is a particularly important one and you must keep this in mind while conducting the back-up exercise.
This directory contains all the user-generated content from the WordPress website. Edited themes, plugins and uploaded files, all reside in this directory.
You must make a back up of this directory. Plus, the wp-config.php file which contains all the connection details must also be backed up.
Generally, web hosts provide backing up software for users. See if your host has given such software to you. Creating Syncs with the website is another useful method of backing everything up.
Programs like WinSCP allow you to keep a mirror image of the website content. Not only does this save time, but also this ensures that the back up is actually an updated one.