There are many ways and tools available to get a copy of an existing MySQL database so really the choice of how to go about this is entirely up to you.

You may find it easiest to use a client side application that will do the export / import process for you. An example of such an application is MySQL-Front (http://www.mysqlfront.de/).

Alternatively phpMyAdmin is available at http://mysql.oochie.com for all clients and you can execute your SQL file and also import data files. You can also export your database structure and data using the Export option.