This week's book giveaway is in the OCAJP 8 forum. We're giving away four copies of OCA Java SE 8 Programmer I Study Guide and have Edward Finegan & Robert Liguori 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.