You have two options:
(1) EXPORT. This backs up course the course structure. Use this if you want to save a course to teach from in the future.
(2) ARCHIVE. This creates a copy of all the posts, gradebook, etc. (i.e. it preserves a course with all the student/faculty interactions). Do this at the end of the semester.
From the Control Panel: Packages and Utilities -> Export/Archive Course -> Export Package -> Select All -> Submit. Then return
Step #2. Click the "Export/Archive Course: menu option.
Step#3. Choose either Export or Archive:
Step #4. Under “Select Course Materials” choose “Select All”:
Step #5 Click Submit. Then wait. . . it will take a few minutes to queue your course shell, which will appear in the Export/Archive area as a zip file: