Having trouble downloading a database

I am running WPMu 2.7 and I an going to be installing the multi data base plugin soon.

But When I went to download a zip of my database, I discovered that essentially I am getting a zipped folder with nothing in it.

I tried to start a download using phpMyAdmin, but all I get was an empty zip file.

The cpanel us running version of myphpadmin. I am following EXACTLY the instructions in the codex: http://codex.wordpress.org/Backing_Up_Your_Database

Is there something I am missing?