Before an upgrade from MySQL 5.0.x to MySQL 5.1 I did a backup of all databases. First I created a folder without any spaces in the path:
Then I start the command prompt (cmd) and run:
mysqldump -u root -p -all-databases > C:\mysql\backup.sql
Enter the password when MySQl ask for it, and when MySQL is done, I uninstall MySQL 5.0.x and installs the MYSQL 5.5 by MS Web Platform Installer.
When done I run the following in the command prompt:
mysql -u root -p < C:\mysql\backup.sql