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Open command prompt by typing cmd in windows run window
locate mysql installation directory if mysql bin path is not added on your system .
for example ,
command_prompt>cd C:\Program Files\MySQL\MySQL Server 5.0\bin
command_prompt>mysqldump -uUSERNAME -pPASSWORD DATABASE_NAME > PATH_TO_BAKUP
command_prompt>mysqldump.exe -uROOT -pMYPASSWORD MY_DATABASE > c:\backup.sql
to bakup all the databases just type the command mysqldump.exe -uROOT -pMYPASSWORD –all-databases > c:\backup.sql