I've got the #2 error while doing the guide

[Calypso73]

I'm a little confused by the commands given on your screen. How do I start mysql from the directory where my .sql files are located? I mean, what command am I putting in. I type the command: cd\peqdb which then puts me to C:peqdb> After that I type in: mysql -u root -p and then last I put in:

create database peq;
\u peq
source load_player.sql

In which I get the Failed to open file 'load_player.sql', error: 2