You cannot run mysqldump within a MySQL console since mysqldump is an external command like the mysql console.
Exit the console and use the mysqldump command as follows:
mysqldump -u username -p -h hostname (or ip address) databasename > sqlfilename
It will ask for password.
More details of mysqldump can be found at http://dev.mysql.com/doc/refman/5.1/en/mysqldump.html