Also, if you use Navicat for managing your database, you can just right click on the database and select the "Dump to SQL" option. Then, chose a name to save it as and run it. That will back the DB up just like the command prompt way that Derision described.
Then, to restore your database, you can just right click on the database in Navicat and select the "Run Batch File" option (not sure if that is the exact name of the option, but it is something like that). Then, select the backup you wish to restore to and run it.
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