I personally prefer to use cpanel to backup and restore a mysql database over the Dolphin Admin Backup feature. This will be based on the popular cpanel hosting control panel.
You should download backups on a regular basis, and anytime you intend to make customizations in your admin panel or to your database directly.
If you download a backup first and something goes wrong, you can restore it to get your site back to the previous state. If you don't then you have nothing to fall back on. Database backups are relatively small in size, usually compressed and only take a couple of seconds to download. They are more than worth the effort and they can be a life saver!!
So first login to your hosts cpanel control panel.
You may see a slightly different layout depending on your hosts setup but it should be similar and easy to follow.
Scroll down to the "Files" area and find "Backups" or "Backup Wizard" Both of which do pretty much the same thing. The first one "Backups" will take you directly to the download and restore area. The "Backup Wizard" simply has a few more links to guide you to the right area you are looking for.
So choose the first one "Backups"
Find your database you want to download in the "Download a MySQL Database Backup" area. Simply click on the database and save it to the desired location on your local computer.
If you need to restore a MySQL Backup for some reason...
Go to the first "Backups" in Cpanel again.
Find the "Restore a MySQL Database area.
Click on the "Browse" Button to locate your database backup file. And then upload it.
You can use the "Backup Wizard" to do the same it just asks you for more input, such as do you want to backup or restore. The same results will be accomplished just more clicking involved.