1) to create a database user needs CREATE privilege in MySQL. and to insert data he needs INSERT privilege. MySQL operates it own user privileges. It does not use the OS (Windows/Linux) user accounts. You can manage user accounts from SQLyog (5.2 supports all privileges)
2) if you create the back-up with the 'mysqldump' program it is stored on the server. If you use SQLyog it is stored on the client (or a network drive that is mapped to the client with a drive letter). However there is a small bug in SQLyog that can affect import of 'mysqldump' dumps (not dumps created with SQLyog itself). It is fixed in the beta tree. You can download latest (non-released) build from here http://www.webyog.com/downloads/betas/not_…SQLyog52Ent.exe if you need to import a 'mysqldump' dump with SQLyog (there is only a REGISTERED ENTERPRISE version as of now, but next beta will have the fix in all versions)
3) if you only want to copy some tables you can create the backup with SQLyog and you can select which tables to copy from the GUI – both the 'export tool' and the 'backup powertool' (actually you can with 'mysqldump' too – but the commandline can be a little tricky then!)). Actually you have also use the 'copy to other host' with SQLyog .. or use the DATA SYNC.
I think it is much easier if you experiment a little with non-important data!