It must tell you the name of the file created. If it tells you the exact address like ftp.mysite.com/myfile.gzip just type it in the browser or use a ftp program.

Otherwise go to vps shell and use this command replacing ??????? with the name it gives you.

find / -name ??????????

Once found use ftp to download it or if it is in a folder accessible by browser type the full address in broswer window.

if you have a cpanel than probably the backup icon will let you download the backup created.