"mysqldump" is a command line utility that generates a textfile containing a series of SQL statements that, when applied to a new database, will recreate the old database. There are a lot of command line switches that control its behaviour. (I haven't used it on Windows, but I would assume it works the same way there as on Unix; you might have to search your filesystem to find it.) You can find it documented <a href="http://www.mysql.com/documentation/mysql/bychapter/manual_Tools.html#mysqldump>here</a>. That page also mentions "mysqlhotcopy", but I don't think that utility will work on Windows as it relies on the cp command.
Here's a sample invocation of mysqldump that I call from a shell script called "backup"; you could put this in a "backup.bat" file or something similar.:
mysqldump -u root --add-drop-table --add-locks --extended-insert --flush-logs --lock-tables my_db_name > backup.sql
This assumes that there is no password for root to have full access to the database; adjust the user and add a -p to be prompted for the password. It will replace any tables in the target database with the ones from this backup, include full insert statements for all rows, and lock all tables while it does its thing.
You may want to then zip or otherwise compress the file before ftp'ing it, but that's optional. Once you have the original file on your unix machine, type this at a shell prompt to put the tables and their contents into your database:
$ mysql -u root my_target_database < backup.sql
Note that you'll want to adjust the username and password for the new database. The final filename will be the file you just ftp's over, that was created with the mysqldump command.
Incidentally, you could probably use the same backup.sql file to transfer the database to almost any other database with little or no changes, like Oracle, DB2, PostgreSQL, etc. Hope this helps.