You need to navigate to the cPanel 'File Manager' page, and this page provides the functionality to create backup files and download it.
Hosting Account->Manage->cPanel(quick links)->Files->File Manger
cPanel page (then click File Manger icon, within the Files section)
File Manager page (select the files and then right click and select the compress option)
File Manager page (select the compressed file and then right click and select the download option)