Point your web browser at http://www.skippy.net/blog/category/wordpress/plugins/ wp-db-backup/ and download the WP-DB Backup plug-in from Skippy.net. At the time of writing, it's currently at version 1.7 and mature in development.
Unpack the zipped file to your local drive. It contains four files. Depending on your primary language, you'll probably be interested in only two of them: wp-db-backup.php and wp-dp-backup.txt. The former is the plug-in, and the latter contains the documentation for the plug-in. The other two files are for language localization.
Installation and configuration are simple. All you need to do is create a directory, upload the plug-in, and then activate it.
On the web server, navigate to the wp-content folder. Create a directory here named backup and make it writable by the web server process. This normally involves setting the properties by right-clicking the directory in the FTP window, or by providing the instruction chmod g+w backup at the shell command line. If configured to store the generated backups on the web site, this directory is where the plug-in will store them, which is why it needs to be writable by the web server. However, by default, the plug-in will expect you to download the backups to your own local machine and not use this folder. Using a backup folder is the most secure way to handle your backups and is the approach I recommend.
Next, you need to upload the wp-db-backup.php file to the wp-content/plugins folder. Finally, go to the administration pages, click Plugins, scroll down until you reach the WordPress Database Backup plug-in, and click Activate in the right column.
That's it! The plug-in is installed, configured, and activated.
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