Backing Up Website

I'm trying to back-up my website to my HD but I keep loosing the connection. I suspect that the amount of files that are being downloaded are affecting the Router and I have to keep flushing the Cache by switching the Router on and off. But, this is a real pain when trying to download the site.

Is there a way I can Zip the whole of the site into one large file and then download that in one go? Is there a facility in SmartFTP to do that?