As above mentioned, you will likely need to do it manually via ssh / ftp / sftp..
Anyway, Locationwise. Its whereever you currently are on the system..
When you login to your server, Type the command “pwd” This will tell you were your current WorkingDirectory is.. This is where you work from.
So, Say I type PWD and it says.
This means if i type:
mysqldump db_name > backup-file.sql
backup-file.sql will be in /home/myusername/backup-file.sql
If i type:
mysqldump db_name > /root/backup-file.sql
I have above used /root/ as the directory and forced it to store it in this location.
If you dont specify a directory, it will store it where you are working from currently ( PWD to see )
Hope this helps on top of the above answer.