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You'll want to read through the sql file and make sure the database information is correct for your system. In short, if you've got an sql file you can either login to your database with "mysql -u your_user -p 'your_pass'" and then once at the prompt, you'll want to "USE your_xoops_db;" and then "SOURCE '/path/to/file.sql';" Alternatly, you can add the "USE your_xoops_db;" to the sql file and then just run "mysql -u your_user -p 'your_pass' < file.sql" at the shell level. If you don't have this kind of access with your hosting provider, then I'm not sure how you'd go about doing this, you'd have to check your documentation.
In my attempts to learn php and MySQL I ended up writing a sql script generating php script to add avatars to the XOOPS database automatically. If there's interest I'll make this available :).
Hope this helps.