A MySQL database you mean? I believe you could try downloading the database with a mysql frontend and then uploading it, but I don't know how exactly to upload it...
If the database is small you can use phpmyadmin I believe.
The only problem is that this won't work for large databases. I'm currently having trouble with a database which is 50MB in size, and it times out when I upload it normally.
I believe you can upload it using ftp and then using sql -i or something to import it.