If you want to create a backup to download it via the browser, you also can do this without using a file.
The php function passthru() will directly redirect the output of mysqldump to the browser. In this example it also will be zipped.
Pro: You don't have to deal with temp files.
Con: Won't work on Windows. May have limits with huge datasets.
<?php
$DBUSER="user";
$DBPASSWD="password";
$DATABASE="user_db";
$filename = "backup-" . date("d-m-Y") . ".sql.gz";
$mime = "application/x-gzip";
header( "Content-Type: " . $mime );
header( 'Content-Disposition: attachment; filename="' . $filename . '"' );
$cmd = "mysqldump -u $DBUSER --password=$DBPASSWD $DATABASE | gzip --best";
passthru( $cmd );
exit(0);
?>