From a command prompt, you can backup your entire database using this line:
mysqldump -u user_name -p your_password database_name > File_name.sql
Example:
Let's assume that:
Username: bobbyjoe
Password: happy234
Database Name: BobsData
mysqldump -u bobbyjoe -p happy234 BobsData > BobBackup.sql
This will backup the database to a file called BobBackup.sql

