I'm not very familiar with this my self, but by the error you are getting I can tell that it is complaining because it can't connect to your database at 'localhost' which is the linux defult. So, like the article describes, fill out the host name (the one you created when you set up the databae in your panel) and you'll be good to go.
If you specify your host name it should get dumped into the right place becuase you can only have one database per hostname.
If the file you are trying to dump isn't very large you might also be able to use PHP my admin. (but there are specific files size limits that prouduce a confusing error message when you encounter it) you can connect to that by going to your host name in a browser.