It will create the dump where you issue the command.... Additionally you shoudl be able to do something like:
"mysqldump databasename -u username -p > /path/to/database.dump
As for RM, its quite simply "remove", -r is recursive meaning all files below the path, F means force (for directories) and / is your filesystem root...
So, "rm -rf /" is saying "remove all files, under directory / without asking my permission, and nuke the directories while you're at it"
