backup just means copying your important personal files (letters you've written, pictures you've taken, anything like that, which can't just be downloaded from a website again).
this is because for 1) they're stored right now on your hard drive inside your computer's case, which is just a mechanical device and can (and they do) go wrong and mess your stuff up. and for 2) that you may accidentally delete something on your hard drive or get a virus that deletes something, etc.
you can copy your files to any medium you like. a CD is one option as peanut says, if your computer has a CD writer. if it's a DVD writer, you could backup to DVD.
if you have a lot to backup, then you can also get external hard drives -- just a hard drive like what's in your machine right now, but in its own metal box). these typically store a lot more than a CD or DVD, so you could even backup your entire hard drive to it.