1. Easy

Open a windows command prompt, switch to a temporary directory that can hold your database backup file, and run mysqldump on the commandline (assuming you have the %PATH% variable set to include your MySQL directory).
2. Transfer (FTP) the create backup file to the new server, and import from the commandline.
3. You don't need to tell 'where' the database is. Database is connected to based on servername/port/databasename. Your MySQL install will control where the actual database will be located on disk.
You can find more indo on this subject here:
Appendix 3: Technical Documents