Sometimes our requirement is to export/download the latest database from live/test server.

We can easily create the dump on our server and then copy paste it from server to your local machine using Win-Scp.  
But the issue comes when the size of our database becomes quite large, in that case we do not prefer copy-pasting it from sever to local because it may hamper your work.

So best suggested way is to download it via browser by making that dump in a folder that is publicly accessible in your server & then using the downloadable link to directly download it from the browser.

In Both test or live server you can follow the following steps to download it :

1) login as root in your server using putty i.e:

sudo -s

2) create the dump of your database in the desired path. I am using mysql to create the dump:

sudo mysqldump -u root -p***** testdb > folder1/testdb_dump.sql

(Here **** will be your mysql passowrd, testdb is the name of the database whose dump is to be created, and testdb_dump.sql would be the dump that would be created for you.)

3) In your server navigate to path where you have taken then dump using cd.

$cd folder1

4) Now we will compress this dump to shrink its size by using gzip

gzip testdb_dump.sql

5) Next step is to create the symlink of the zipped file in that folder on your server which is publicly accessible via browser.
    In my case say /var/www/test/images is publicly accessible then,

ln -s testdb_dump.sql.gz /var/www/test/images/

6) Once we create a symlink in the publicly accessible folder we can download the dump in following 2 ways :

   a) We can directly download it via browser by using domain name followed by the file name, i.e:

abcd.com/testdb_dump.sql.gz

(abcd.com would be replaced by your domain name)

  b) Or you can download it from your ubuntu terminal by using wget as :-

sudo wget abcd.com/testdb_dump.sql.gz