I assume you're talking about deleting your local copy.
Does the server you are using have the FrontPage extensions installed? (You would click 'File > Publish' if the extensions are installed.
If so, click 'File > Open web' and in the 'folder name' area put 'http://www.whatever.com', then click 'open'.
It should open the website on the server and you will be working 'live' with those files (ie, be careful). So at this point, click 'File > Publish Web' again and in the 'publish to' area, browse to an empty folder on your local disk 'C:\newfolder'.
It should transfer everything in your online website to that local directory.
(But it will be in the funky FrontPage format with all kinds of folders you don't recognize that start with 'vti_') *dont* delete any of these, because they're required for FP to work properly and keep track of files.
Now...if you don't have server extensions installed (there's no 'Publish' feature available, or it gives you an error when you try to connect). Just grab a good FTP program like WS_FTP [url]http://www.ftpplanet.com/download.htm[/url] and open up the directory on the server (it's pretty self explanatory, things like 'location', password, etc.) and FTP them to your local computer.
Did this make sense? If not, lemme know and I'll try to clarify.