Well im glad you got it now, but please next time try Googling it by yourself first and then if still you cant find the solution by all means post a question, but i literally googled your posts question "mysqldump command on command prompt or MySQL Command Line window" and that was the first link.
[EDIT] From the link i'd determine you type it into the MySql console as a command?
In command line, it is utility provided along side of MySQL. If you have correct installation of MySQL you should be able to execute it from any directory you are, else you would need to provide full path to mysqldump
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