Do you mean that when your application closes it should make a backup.
If that's the case, upon closing, you can execute a
BACKUP[
^] command using
SqlCommand[
^].
That would result to a backup file which you can then zip if you like. For zipping there are lot's of articles, for example:
C# Zip Files and/or Folders[
^].
If this is centralized Sql Server (I mean you have multiple clients), it's not a good idea to run backup when an application closes. Instead you should schedule the backup at server side to happen for example every night.