Most versions of mysqldump use "-p" or "--password=" to provide the password.

I see that you have got "-p" in your command, but you have not specified the password - leaving the password blank forces the command to prompt for one. Make sure that you do not leave a space between the "-p" and the password.

Depending on your version of MySQL you may also supply the password in a configuration file, which may be more appropriate. See http://dev.mysql.com/doc/refman/4.1/en/password-security.html for more information.