You will need to download the tree first. To do this, do the following:
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On the family you want to back up, click on 'Download/export this family'.
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Select 'FamilyScript'.
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Click 'Download'.
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Save the file which downloads (I recommend in 'My Documents' or equivalent'). Make sure you give it a name you can easily recognise.
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You can now download the file easily onto a penstick, or store it on your computer.
Hope this helps!