A backup of a site is a copy of its content, that's kept on another hosting server and may be restored if something happens. This feature is rather handy, since you cannot know if a script update shall not go wrong or if you won't eliminate something unintentionally - a file, a folder, a database entry, etcetera. If your website is backed up, it can be restored the way it was prior to when the problem appeared, so there won't be any damage, or at least it shall be very little, depending on the particular case. Keeping backups on your PC isn't very feasible, as you'd have to do it at least once per day and you may still lose information if your last backup is not recent enough. In this light, you will need to rely on your web hosting company, so you have to double-check their policy on the backups, given that some companies generate backups only once a week, which will do no good if a problem occurs with a site which is being used and updated at all times, such as an online store, for example.