Open up WS_FTP Pro.
Connect to your website.
The explorer interface displayes your computer drives and files on the left side of the screen with your web server files and directories to the right.
Use the browser to browse to the drive or folder on your PC you want to back the site up to. It might be easier to just pick My Documents to begin with.
You can either right click in the left hand panel and select New Folder, or use the New Folder icon near the top right of the screen. Give it a significant name, like MySiteBackup. I like to name the folder with a date, like this:
It makes future reference points easier to handle and you can roll back to any date you choose.
Now, in the right hand panel select all the files and directories from the web server that you want to back up.
Use Ctrl and left click to highlight files and folders one at a time, or click on one file to begin with then use Ctrl and A to select all.
Click on the arrow in the centre of the interface window poiting to the left. All that does is copy the file(s) and folder(s) you wanted to the directory on your computer you chose.
Unless you physically hit your delete key with a file/folder selected on your web server, or choose right click >> Options >> Delete, you can't really delete anything from the web server.
One other trick I sometimes use is this:
In WS_FTP Pro, click on Tools, the click on Options.
Put a tick in the checkbox that says "Allow files and folders to be moved" and then click on OK.
New, create a new folder on your web server with a relevant name and/or date. Select the files/folders you want to back up and drag them to your backup folder on the web server.
I often keep several versions of sites on the web server in the event that recalling all or part of a previous version of it is necessary.
Don't worry too much about deleting things though. You physically have to choose to delete. Using the arrows from web server to PC just copies from one to another location.
Hope that helps.