WordPress is a web application based on PHP and MySQL. As such you need to backup all its files and its database to have a full copy of your site. The easiest way to copy your files is via FTP or use the File Manager in Plesk. Make sure that you save all the files and folders in the directory WordPress is installed in (public_html if it's the main application for your account).
The WordPress database can be backed up as any other database. In case you have multiple MySQL databases and you wonder which one your site is using, open the wp-config.php file in the WordPress root folder and you'll see the database name saved next to the DB_NAME option.