Heres how I got it working power shell using pgsl connnect to a Heroku PG database:
I had to first change the client encoding to utf8 like this: \encoding UTF8
Then dumped the data to a CSV file this:
\copy (SELECT * FROM my_table) TO C://wamp64/www/spider/chebi2/dump.csv CSV DELIMITER '~'
I used ~ as the delimiter because I don't like CSV files, I usually use TSV files, but it won't let me add '\t' as the delimiter, so I used ~ because its a rarely used characeter.