What mode are you running SQL server in? If you are running in "Simple Mode" then you can take a backup and then restore it to that point in time (this works for many folks, but not all). If you are using log files then you will need to backup the SQL database, then backup the log files, so you can do a restore-to-point of failure.
You will use the MS-SQL tools to do this, not the Control-M utilities.
Im not expert in SQL, but i know im using log file + data file in my DB. If i do the backup you recommend(in sigle mode or with lof files), can i do that while Control-M is still runing? because that is my first concern.
Yes, you can do backups with CTM still running. However, you probably should talk to a DBA about this if you are uncomfortable or unfamiliar how database backups take place. You don't want to risk a failure and then find our your backups are no good.