Your MySQL binaries should be somewhere under your XAMPP folder. Look for a /bin folder, and you'll find the mysql.exe client around. Let's assume it is in c:\xampp\mysql\bin, then you should fireup a command prompt in this folder.
That means, fire up "cmd", and type:
mysql.exe -u root --password
If you want to use mysqldump.exe, you should also find it there.
Log into your mysql server, and start typing your commands.
Hope it helps!!