[Adrian Schneider]

The MySQL rarely has write access to most areas... usually just /tmp and whatever else that user is granted to.

Another option is using the mysql CLI client. It automatically writes out as TSV which is largely compatible.

mysql dbname -u username -p -e "SELECT ..." > output.tsv

So, with the above:

mysql dbname -u username -p -e "
    SELECT title
         , CONCAT('http://www.website.com/dir/entry.php?e=', entryid) AS link
      FROM adv_dyna_entries
" > output.tsv

All spreadsheet programs can load up the TSV, then you can easily export it as csv. I use this all the time to export queries and pipe directly into my spreadsheet program for manipulation.