If you want to dump your database you have two solutions :

1. From the console :

enter the following under /bin/ directory inside the Mysql server in the constol

mysqldump -u root -p mile > data.sql
"root" is the username
"mile" is the database
"data.sql" is the dump


2. From PhpmyAdmin :
if you have phpAdmin i will be much easier to dump your database using the Graphical user interface of the phpAdmin. in few seconds your dump we be exits.
Do the following
1. Choose database
2. Press export tag.
3. press ok.
finish

Remember you can customize your dump for example you can put automatically in zip. file.