What type of computer is the MySQL database running on? Are you using any GUI to administer the database like phpMyAdmin or MySQL CC?

You can do this from a command line fairly simply. Navigate to the bin folder inside the MySQL installation directory and type in:

mysql -h hostname -u username -p password < path_to\my_sql_script.sql

This will feed the SQL script to the mysql client application and run it against the database specified in the script.