This week's book giveaway is in the OO, Patterns, UML and Refactoring forum. We're giving away four copies of Refactoring for Software Design Smells: Managing Technical Debt and have Girish Suryanarayana, Ganesh Samarthyam & Tushar Sharma on-line! See this thread for details.
It looks like you're doing this inside ode of DBVisualizer - you need to do this on the command line, because "mysqldump" is an executable, not a SQL statement. Consult the MySQL documentation, it talks at length about how to use mysqldump.