You'll need to modify the script a little. Remove this:
/*
MySQL Backup
Source Host: localhost
Source Server Version: 4.1.10-nt
Source Database: opendental
Date: 2005/03/29 07:56:53
*/
and replace it with
create database opendental
Then, run
mysql -h localhost -u root < opendental.sql
The first time you run Open Dental, you'll be asked to upgrade your database. Accept to do so. For the data directories, enter the directories you created above. Remember to include a trailing "/" after the directory name. If not, Open Dental will complain.