If you want the downloaded file compressed to reduce the size of the file,
leave "Compress the file with gzip" checked, also. Click on the
Download button to store a file containing all of the
needed to recreate the database for the forum on the system
where you are using a web browser to access the forum. The file will be
saved in whatever folder was selected for downloads, e.g., on a Microsoft
Windows system this is typically a folder named Downloads under
your user account. The file will have a name in the form
forum_name-complete_YYYY-MM-DD.sql.gz (there will be
a .gz file extension if you had the "Compress the file with gzip" option
checked), where forum_name is the name of the forum. The
YYYY-MM-DD will be the date with "YYYY" being the four digit
year, e.g., 2016, "MM" being two digits representing the month, e.g. "04"
for April, and "DD" being the two digit date, e.g., "09". The ".sql" in the
name indicates that the file contains SQL commands which could be used
to recreate the database with all of its tables and data.
The above steps create a backup of the database used by the forum - see Backing Up a Simple Machines Forum (SMF) database for steps you could use to restore that database from a command line interface (CLI) on the server where the database resides and also steps you can take to backup the files that are part of the SMF software on that server, also.