This week's book giveaway is in the OCPJP forum. We're giving away four copies of OCA/OCP Java SE 7 Programmer I & II Study Guide and have Kathy Sierra & Bert Bates 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.