and dont forget what zorgman said... if you cant get phpmyadmin to do it (probably because of a time limit or file size problem in your PHP installation, you can always ssh in to the server and run
mysqldump -u username -p databasename > dumpfile.sql
it will ask you for a password then create dumpfile.sql... then you ftp in and download it... (it helps to put the path to your web folder or a folder you can easily ftp to in front of dumpfile.sql) then you follow zorgmans other suggestion and it will go in slick.
d
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