There's a plugin for PHPMyAdmin within Wordpress - Look here..
http://www.blogtycoon.net/wordpress-plugins/portable-phpmyadmin/
just open the command line and execute the mysqldump command
mysqldump -u username -ppassword databasename > dumpfile.sql
mysqldump manual: http://dev.mysql.com/doc/refman/5.1/en/mysqldump.html