From the command line, not inside MYSQL:
mysql -u username -p -h mysql.hosting.com database-name < data.sql
And my memory is a little fuzzy since different hosts have different little details, so I can't remember if it was DH where this didn't work. In that case, mysqlimport might instead:
mysqlimport [options] db_name textfile1 [textfile2 ...]
Of course, if it is a smaller file, you can always try phpmyadmin! That is probably the easiest way.