Yes this is possible, and highly recommended to do every month at least. Is your blog a Wordpress.com blog, or do you have a Wordpress installation on your own server? Here are the instructions for if it’s on your own server. Using phpMyAdmin is very easy – I do regular backups of my blog twice a month and it takes only a few seconds.
Yes, these instructions are not all one step – they are for different methods. The easiest way is to dump the database from phpMyAdmin into a zipped file. Do you have access to this program? You would find it in your cPanel menu.