It depends very much on how much access you have to the server. MySQL stores the entire database under a folder normally in /var/lib/mysql and then you could physically do a straight copy if you have ftp access.
Another way to do it it to install phpMyAdmin on the original server and use the export feature which would dump all of the data, and then install it on the new server and use the import feature.
A lot of this is easier if you have "shell access" like SSH on both servers, then you can use mysqldump, it may be possible to do the following, create a PHP page on the original server and visit it with your browser:
PHP Code:
<?php
exec('mysqldump -uUSERNAME -pPASSWORD DATABASE-NAME > db_dump.txt');
print "finished";
You get the db_dump file from the server via ftp (you may have to create it and give it write permissions for the program to work) then on the new server you do
PHP Code:
<?php
exec('mysql -uUSERNAME -pPASSWORD DATABASE-NAME < db_dump.txt');
print "finished";
Notice that the Uppercase text is for you to enter, and that the direction of the arrows is important. It won't give you any feedback until the txt files are created but then I am guessing the database is quite large and you don't want to be displaying 80 megabytes of data into your web browser and crashing it ! It doesn't matter what you name the files but you should remove them afterwards.
Oh and db_dump will be in the same folder where you put the file you visit with your web browser.
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