The pipe character is a great invention to concatenate the output stream of mysqldump with the input stream of mysql.
mysqldump -uXXX -pYYY -h192.168.4.98 -P3306 DBNAME --skip-lock-tables | mysql -uroot -h127.0.0.1 DBNAME
First of all, make sure that the local connection can be made to port 3306 on the server. If the win2003 system is the same, directly copy the database folder.