Backing up means making copies of your files and database. You need to backup regularly in case something goes wrong on your web hosting. Your data could be lost due to some hosting issues or through webmaster mistakes. Therefore, it is important to have backup files to be able to restore your website.
To backup a website made with CMS Made Simple, it is not sufficient just to copy all the files found on the server with FTP. Those files are only a small fraction of your website. The most important part is the database where all your text and designs (except image files) are stored.
In CMS Made Simple, you have two modules (one is used for file backups and one for database backups). You would probably not be able to use the modules on free web hosting or on the hosting with strong restrictions. To check if an easy backup of your website with the following described modules is possible, try to install the first module to backup files.