Transferring mysql data base from old server

I am trying to transfer a WP site from Register to Go Daddy. I have downloaded my WP files and MySQL files. When I try to upload the MySQL files in the Starfield Application at the back end of my Go Daddy account the data base corrupts. I was told I have to use a data base download wizard. Is that true? Does anybody know which one? I am really struggling with this and am also running out of time. Thanks