Answer
There are two ways to save a backup file locally to your computer.
To create a single backup manually, click Tools >> Create Backup. This saves a compressed copy of your payroll data (all companies) into a file with an .LPB extension.
To set up automatic backups, open Settings >> Backups and tick Backup your data automatically. You can choose a folder and Lightning Payroll will save a backup to that folder each time the program closes.
Local backups are a good first line of defence, but we also recommend keeping a copy off-site. See How Can I Set Up Online Backups? for details on our free cloud backup service.