mysqldump is a command, just like
mysql. That's what I meant above.
You said you're using an MS-DOS window, so you would type
code:
mysqldump -u myusername -p mydatabasename > mydatabasename.sql
into that window, just like any MS-DOS command.
Since you're using the -p option (unequivalenced), you'll get prompted for the password for the MySQL user
myusername. If the password is correct, and that user has
select privileges for the database
mydatabasename, then the dump will be written to
mydatabasename.sql.