A MySQL dump is a bit slower than a raw backup because it creates all the SQL queries required to create the tables of that database, as well as all the insert queries required to place the information back into the database's tables.
If you want to perform the mysql dump manually, without the assistance of your hosts control panel, then run SSH to your web server and do the following (taken from MySql.com):
* mysqldump --tab=/path/to/some/dir --opt db_name
If you were to open up a MySQL dump file you would see a slew of SQL queries that you would probably be able to understand (if you've already read through this whole tutorial!).