How do you want to generate the script

SQLyog allows you make a complete dump in one single dump file or across separate files in a directory. If you choose to export to separate files then SQLyog will generate obj_{objectname}.sql in the folder specified.

Select the option and provide the corresponding File name or Folder name accordingly.

You can even tell SQLyog to prefix the specified file name with the current timestamp and configure it to overwrite or append to existing script files.

Compress backup files: When this option is checked SQLyog will create a zip-archive of the backup.

Note: This feature is available in SQLyog Enterprise and Ultimate.