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On your Home page, click Databases.
Click on your Database.
Click the DB WebAdmin icon in the Tools group, and the phpMyAdmin database management tool will open in a separate browser window.
On the front page scroll down on the right frame and click on Export.
Scroll down again and check the box next to Save as file, then click Go.

NOTE: If you do not click on save as file, a new window will open and it will show the dump in that window instead of saving it to your computer.