[CentOS] Problem getting mysqldump on Centos 5.x server

Hello all,
        I have a dedicated hosting account that I am closing down but I am
having problems getting an access denied error when I run the mysqldump
command from the ssh prompt, logged in as root.  So, the hosting provider,
who saw the same error, reported, " Hence, we would suggest you directly FTP
the database from server to your machine by using ssh client."  I am not
sure what that means.  Unless it means going into the /home/msyql directory
and then into the corresponding directory for the particular db that I am
trying to get.  This is for a joomla installation.  So, there are files that
include db.opt and then jos_banner.frm, jos_banner.MYD, jos_banner.MYI, and
etc.
So, do I download all those files?
I am wanting to move the site to another server which is a VPS hosting
account that also runs Centos 5.x. 
Thanks in advance for any help,
Bruce