Hi Michael,
If want a db backup of the built in, inclusing all your data, I think your best option is to run a Excel exporter on that entity or grid overview and extport the entity data to excel. Almost all database management systems allow you to import data from excel.
If data is not important, you can connect to several relational database (check modeller Settings > Configurations for the exact options). Mendix domain controller is in charge, so by providing the db host, Mendix will automatically generate a complete database including table and attribute structure for you.
Hope this help. Good luck with it.
Jan