You'll need to access the database through something like PHPMyAdmin to access the database. Within the database are tables. You can export the tables for the members or whatever else you're trying to save. This will export it into a .sql file that can be opened with Notepad or Notepad++.
If you're on shared hosting, ask your host how to access PHPMyAdmin if it isn't easily accessible within your hosting control panel.
Not exactly sure what you're trying to accomplish here, but these are the easiest ways to do it. Here's a video for you.