database backup and combining databases

[amnion]

I'm new to all this php stuff, and I'm having a REALLY difficult time figuring out how to do this. I have two databases I need to combine and I can't figure it out through myphpadmin. I'm seeing all over that you can do this:

mysqldump --opt -a -u USERNAME -p PASSWORD DATABASE > FILENAME.mysql

But I don't understand WHERE I'm supposed to do that, or how, or anything. Even better would be if someone could explain the process and I could just use this:

mysqldump -u USERNAM -p PASSWORD DATABASE | mysql --host=123.45.67.89 -C DATABASE

Please help.

[rulian]

By combining Databases,
do you mean copying over the database schemas, or simply combining their information? Are they exact replicas of each other, and perform the same function?