Hello,
Do you have CPanel?
If so, you can go to Mysql -> PHPMyAdmin -> Operations (i think) -> then something like "Execute Sql file" or something like that.
Anyways, browse to the file and run (on your local machine) it and that should be all you need to do.
If you do not have CPanel, then if you have ssh, all you need to do is save the file (probably with ftp, where it realy doesn't matter, as long as you know where you have saved it) and log into your server via ssh, and type:
mysql -u your_username -p < your_file.sql
Enter password: ********
And then, i think it should work.
HTH,
Peter