If by "files" you mean the iMovie project, then yes you can export the project as a standalone movie to your desktop or elsewhere, by clicking on the share button in the upper right of the screen (the icon that looks like a little square with the upward pointing arrow in it) and choosing to Export to File. Or from the iMovie menu you can do a File/Share/File. However, the editable project itself cannot exist outside of an iMovie library, so must remain in the iMovie system. You can export as many times as you want from the iMovie project.
If by "files" you mean the original media that you had imported into iMovie, you can export those from an event or from the Project Media browser view. Or, you can select the clip and do a File/Reveal in Finder that will cause an Original Media library folder to pop up with the name highlighted of the clip that you selected. Then, while holding down the option key you can copy-drag the file to your desktop. You want to copy it out rather than transfer it out because transferring it out would remove the clip from all projects that might be referring to that clip.
As you can see, it can be a bit awkward to retrieve original media from the iMovie system, and that is why it is always good practice to backup your media outside of the iMovie system.
As a point of information, the iMovie app itself does not contain any full sized original files. The original clips that were imported are stored in the Original Media folders in the iMovie library. The clips that you see in the project timeline of the iMovie app are only reference thumbnails that refer to the original clips in the iMovie library.
-- Rich