WordPress.com makes regular, frequent backups of our blogs. However, if you wish to do so, you can make a backup file by exporting your blog following the instructions here http://en.support.wordpress.com/export/
The XML file is a plain text file that is formatted in a specific way to include all the text, comments, categories, tags etc. You can open the file with a text editor like Notepad. The XML file contains links to your images and other media but does not contain the images themselves.