As Luciano said, use the "Download / export this family..." function. If your goal is to keep a "backup" to protect your data, download a GEDCOM or FamilyScript file. A CSV file is pretty much useless as a backup as it cannot be uploaded to restore a damaged tree.
Also note that picture data is not included in these backups. If you don't have your own backups for the pictures, you can download the HTML file that will contain the picture data. You can extract the picture data manually when you view the HTML file in your browser into separate files that can be added to a restored tree.