What is "the shell"

I feel really stupid asking this…

but what does that mean?

as in these directions:
To backup your MySQL database you can:

  1. Use phpMyAdmin and use the options there to dump the contents to a text file.
  2. From the shell, run this command:
    mysqldump -uusername -ppassword -h yourMySQLHostname dbname > filename

To restore your database from a backup:

Take that db dump and do:
cat filename | mysql -uusername -ppassword -h yourMySQLHostname dbname