When you buy a game on Steam, you have no physical support for the game, you can only download from their servers.
The problem is that now the game take a some disk space, so the day you need to re-download it and you're in country where you have a download speed of 60kb/s,it will be quite troublesome.
Saving a game
Click on Steam> Save and restore games ...
Check Save games currently installed and click Next
Select/the game (s) you want to save. You will now see the disk space needed to create the backup.
Select the directory where you want to backup and click Next.
You can now choose the name of the backup folder and the size of backup blocks.
It's simple, if you want to save the game on CD or DVD for later, check the optiob, otherwise if want to you store it on a hard disk, choose Customize ... and specify a size greater than the size indicated above for the backup.
You just have to wait ...
Restoring a game
To restore a game, there exist two ways:
From the executable file created in the backup.
From the executable of the backup file
Go to the location where you made the backup.
Double click the file steambackup.exe
You will get a window with several options:
Install XX XXXX (XX XXXX = the name of your game)
Another window appears and you indicate that you are about to install the game, click Next.
Choose whether or not you want a shortcut in the start menu and desktop, then click Next.