you can alternatively use MySQLFront (google it) and use that on the WIndows system to do you dump.
Do the dump for data + structure.
It will create a *.sql file with all the data ready to go with INSERT statements after it creates each table.
Then, it sounds like you really need to just spend a day on the Linux side, reading up and playing around to get settled.
Once you have... (and the mysqld <- daemon) is started from your startup init.d scripts, then all you ahve to do is goto command line.
mysqladmin create foo [enter]
mysql foo < foo.sql [enter] where foo.sql is the sql file created from windows MysqlFront.
Then type:
mysql [enter] to get into the mysql console.
mysql>use foo;
mysql>grant [all your grants];
mysql>select * from foo.foo_table;
should now work.
