ROFLMAO... You should install the SQL file in SQL Directory. You will find it directly above the /public_html directory and next to the /phpAdmin directory right after you see the /css/xml/xsl directory.
Or...
You can log into your cPanel, go to phpMyAdmin, select the database your dolphin site is located in (note it will be on the left) then click the import tab. After the page loads you will need to click the browse button and upload it from your computer to the server in this manner. In the bottom right of the box you will see a Go button, click the Go button and it will run the SQL for you.
Now, if you've never done this before I suggest you ask your host to run the SQL for you and send the file to them. You screw this up and you will be tearing the entire DB down and rebuilding your site from scratch. But that's just the worst case scenario.
Next time, pay someone $10 to do the install for you if your not familiar with it yourself, but if you really want to do it follow the instructions in Paragraph 2 and it should go fine, just pay attention to what your doing.