Found a solution, download any command line compression utility, for example: xz (it gives good compression ration: from 1.2GB database size to just 100MB), put it on mysql directory using smb://, then run cmd.exe, change directory to the mysql directory using cd, then execute:
mysqldump -u user -p --all-databases | xz > all.sql.xz
then just copy the 100MB backup file to Linux box via smb://
EDIT: actually it's >2GB when exported to .sql, so I do really need the compression:
$ xz --list mysql-all_20141128_2012.sql.xz
Strms Blocks Compressed Uncompressed Ratio Check Filename
1 1 96.2 MiB 2,297.7 MiB 0.042 CRC64 mysql-all_20141128_2012.sql.xz