Login into your server using a shell program like putty.
Type in the following command on the command line
zcat DB_File_Name.sql.gz | mysql -u username -p Target_DB_Name
where
DB_File_Name.sql.gz = full path of the sql.gz file to be imported
username = your mysql username
Target_DB_Name = database name where you want to import the database
When you hit enter in the command line, it will prompt for password. Enter your MySQL password.
You are done!