>> Go to the "Databases" section for the Plesk domain in question and click on "Export dump", you will be now able to store it on the server.
Yes, I have seen that option. PHPMyAdmin also has an export option.
But actually I was hoping there would be a physical file mydb.sql so I could create a symlink to this file in my vhost folder, so I could easily backup my website (files) and db in just a few clicks.
I don't like to have to login to Plesk every time just for downloading my db :-(