If you are using phpmyadmin to control the mysql server, the page actually states, that IF you use compression, it has to be specified in the filename as for example «database.sql.zip», and then uploading a zip file with the provided sql file inside, but it works just as well to upload the «database.sql» file itself.
For me (XAMPP, Firefox) that link needs to be in lowercase http://localhost/phpmyadmin