First you will need to install the MySQL Client Tools:

  sudo apt-get install mysql-client (this will install among other things mysqldump)

Now you can do the backup, there are a couple of considerations:

1. Your user must have the rights (normally user accounts are localhost limited) I created a user with global rights '%'

Comment these lines in /etc/mysql/my.cnf
skip-networking
bind-address = 127.0.0.1

2. You must have rights to write to the target directory (easily overlooked)
3. The backup might take a few minutes, be prepared to wait.