My guess would be that you have different versions of MySQL on your server and your laptop. At first glance, it would seem that the server side is a more recent release than the laptop, and that it might contain some SQL features not supported by the laptop, or possibly that the server side is using one database engine (such as Innodb) and the laptop is using a different engine (such as isam).
"SHELL>" is just like dos "c:\", but it is a more general way to put it, so that it can be applicable to other operating systems. So, either go to your mysql "bin" subdirectory (which seems to be C:\MySQL\BIN), or go anywhere if you have C:\MySQL\BIN in your PATH environment variable. Then, on your laptop, type :
mysqlimport db_name dump.sql
where db_name is the name of the database on your laptop you want to import data into. I think you should have created a database on your laptop before doing the import, but I'm not sure (I've never tried to import data with mysql).