java database

how to include database files into my source code package.

what do you mean by database files? the actual database or the package needed to use the DB? Check here:http://www.vogella.de/articles/MySQLJava/article.html and here:http://zetcode.com/databases/mysqljavatutorial/

If you looking to create backup sql file then use mysqldump

and if you're looking for a DB written in Java, google Derby DB

where to type mysqldump command on command prompt or MySQL Command Line window.

where to type mysqldump command on command prompt or MySQL Command Line window.

are you talking of this:http://dev.mysql.com/doc/refman/5.5/en/mysqldump.html

yes.

Actually i know which command i have to execute but don't know where to execute.

yes.

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