Are you just trying to back up your database? If so, just do what Vincent said before me - run the mysqldump program that came with your MySQL distribution. This program basically dumps all the SQL commands that are necessary to rebuild your entire database. The easiest way to "save" your database to your C:\ drive would be to type the following:
mysqldump -u "username" -p"password" dbname > C:\dbbackup.bak (or whatever you want to name it)
where "dbname" is the database you want to back up. This redirects all of the statements into the file dbbackup.bak. To restore a backed-up version of a MySQL database, you can type the following:
mysqladmin -u "username" -p"password" create dbname
mysql -u "username" -p"password" < C:\dbbackup.bak