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When you built postgres from source. PG_DUMP is in /usr/local/pgsql/bin/pg_dump or anywhere you've been setting in --prefix. Be aware, /usr/bin/pg_dump can contain different version, that has been installed with your system.
If 'pg_dump --version' doesn't show anything then something is really wrong.
The error messages suggest that pg_dump is a script (and they are not bash error messages).
What is pg_dump? On Debian Squeeze it is symlinked to a Perl script:
docoll@CW8vDS:~$ type pg_dump
pg_dump is /usr/bin/pg_dump
docoll@CW8vDS:~$ file /usr/bin/pg_dump
/usr/bin/pg_dump: symbolic link to `../share/postgresql-common/pg_wrapper'
docoll@CW8vDS:~$ file /usr/share/postgresql-common/pg_wrapper
/usr/share/postgresql-common/pg_wrapper: a /usr/bin/perl -w script text executable
Sorry to confuse. The bash type builtin command and the file binary command can be used as shown at the command prompt to determine what is run in response to using a particular command at the command prompt.
I did not know it was possible to run pg_dump from within an interactive PostgreSQL session. Maybe it's not and hence the error message.
What happens if you try running it at the command prompt?