The latest version of PHPMyAdmin DOES support Chinese, but with default lang as still Eng ISO 8859-1, so get the Export button as the pointing arrow shows you.
Let me take a dummy's step. 1st step is to check all the four CheckBoxes as directed to make it sure you will not miss any single table and all the options MySQL requires in processing the job. 2nd, to save it as a single file you needa have to check the save to/as file option, and when pressing GO, you will be prompted to save the packaged file to your destination dir.
Pick the database from left column and then the SQL button. Ensure that upload file limit is above the uploaded database file(s) or otherwise you may destroy you target database/tables. When the shown interface/webpage loaded, browse and locate you sql file and then click GO...It is possible that you have to wait a few seconds before seeing the success information that will be appeared at the top.