Look under each section for the bits you desire and consider the state the database will be in if you have to re-install from scratch. You will be starting from a 'empty' MySQL database but the structure is created by the phpBB install. It is a VERY GOOD idea to export the dump and try installing a new server and importing it - just to be sure.
I would go for
EXPORT - SQL
STRUCTURE - add IF NOT EXISTS, enclose TABLE and FIELD names in backquotes
DATA - EXPORT type INSERT
SAVE AS FILE - you can save a backup to the server but you can save it to your local machine by unchecking the box and it will pop up a download dialog.
Like I said checking you can import to a clean install is a very good idea, too late to find a problem if you don't do it til you 'HAVE' to do it.
If you can connect via a port 3306 connection a program like mysqlfront will also do it for you.
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