If you are using SQL Server then you need to backup the SQL Server database.
If you are using SQLite then you need to backup the PureCM directory (typically C:\PureCM). This can be backed up using a backup program such as NTBackup on Windows or 'tar' on Unix.
If the server is running, you must run the 'pcm begin-backup' command before taking a copy of the directory and 'pcm end-backup' when finished from the command line. This will ensure a consistent backup is taken. This is described in this knowledgebase article.