Auto backups was removed some time ago, I'm not sure why. The easiest way is to select everything you want backed up (probably you just need to select the public_html folder) and click the compress button in CPanel file manager. It will zip the files into one .zip or .zip.bz2 and you can download one smaller file to your own computer.
To back up databases, you need to go to phpmyadmin or pgmyadmin, whichever you use, and export the database to a .zip file and download it. The default options for saving are OK, just change the save information at the bottom of the page to your liking.