I assume you mean keeping a copy of your web site on your local disk drive for backup purposes. Excellent idea. As Peter says, it depend on the size of your site and the size of your disk, but that usually isn't a problem these days. I use a laptop and I have in excess of 35 GBytes available to me. Much more than my web site needs.
An FTP utility is bidirectional. You can download as well as upload. You can use the FTP Applet, available in your Account Manager to copy your site to a local folder. Bravenet has now started to allow external FTP access to the free web sites so you are not limited to the FTP Applet. Set up correctly, you can use Internet Explorer and just click-and-drag your files back and forth.