Navigate to the directory you downloaded the database to, like C:\peqdb first. Do this by running your command prompt and typing cd\peqdb or whatever directory you put it in.
Another method would be to copy the two load files over to your C:\Program Files\Mysql\bin directory and then run the MySQL CLI from your start menu and do exactly what you are already doing.
Detailed instructions to do the first method are located in my PDF guide so you have some screen shots to go along with.
\. and source are the same thing, so either will work.
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