Nope, I mean through an SSH or Telnet session using the mysqldump command:
mysqldump -uusername -ppassword database_name > database_name.sql
Whichever directory you issue the command from will be where your database_name.sql file will be created; additionally you can specify a path before database_name.sql.
How, if you have PHPMyAdmin you could create an archive (tar, tar.gz, .zip, etc) of yoru forums which will download much faster, but depending on the size of your forums I'm not sure if it'd time out or not going this route.