This was tested in windows using version 5.5.16.
for /f “tokens=2-4 delims=/ ” %%a in (‘DATE /T’) do set Date=%%c%%b%%a
for /f “tokens=1-2 delims=: ” %%a in (‘TIME /T’) do set Time=%%a%%b
mysqldump.exe -h blaa -u whoowee -poop dBName >backup_%Date%_%Time%.sql
place in folder where you want your backups to end.