If the database you want to restore doesn’t already exist, you need to create it first.
On the command-line, if you’re in the same directory that contains the dumped file, use these commands (with appropriate substitutions):
C:> mysql -u root -p
mysql> create database mydb;
mysql> use mydb;
mysql> source db_backup.dump;
It should be as simple as running this:
mysql -u
If it was a dump of many databases, the use statements are already in there.
To run these commands, open up a command prompt (in Windows) and cd to the directory where the mysql.exe executable is (you may have to look around a bit for it, it’ll depend on how you installed mysql, i.e. standalone or as part of a package like WAMP). Once you’re in that directory, you should be able to just type the command as I have it above.