Make a point of writing cmds/options down as you do them, otherwise you'll be forever lost.
You may need to be root to use mysqldump. It should have been installed as part of the MySQL install.
You need to use this (or mysqlhotcopy) if you don't shutdown the DB. Otherwise you'll get an inconsistent backup, which won't restore.
PS on my F8 system its /usr/bin/mysqldump.