Creating a daily backup MySQL database in Windows
"C:\Program Files\MySQL\MySQL Server 5.0\bin\mysqldump.exe" --host=localhost -uroot -ppassword --opt mydatabase > "C:\helmy\backup\%date:~10,4%_%date:~4,2%_%date:~7,2%_backup.sql"

It will create a file 2008_04_04_backup.sql