It's called Finder and yes you can copy your documents to an external drive. The drive icons on the side of your desktop invoke finder windows. Inside are folders which can be displayed with details or icons. You can drag and drop just like windows.
If you don't have drive icons on your desktop then click anywhere on the desktop and look at the top menu bar. It will say "finder", now use the menu to select finder then preferences and turn on the icons. You should also have a square blue "smile" icon on the dock which invokes finder.
Yes, use Apple's Time Machine software to automatically copy everything to your external drive. It will then maintain a backup of whatever has changed every hour. It is essential. Don't spend time manually doing backups!
I don't think you can backup all your documents to iCoud, even if you wanted to.