Use the following command from the command line. First navigate to the bin folder of MySQL.
Common Windows path: C:\Program Files\MySQL\MySQL Server 5.5\bin
mysqldump.exe -u[username] my_db_name -p[password] > e:\Backups\backup_script_name.sql
mysqldump.exe -uroot my_db_name -ppassword > e:\Backups\backup_script_name.sql