Had a quick look at mysqldump (as I'm a SQL Server expert) and there's nothing native in SQL Server before 2008 that will do the same thing. However, you can script out the table definitions from the database (using SQL Server Management Studio) and then you can export all the table data into a file, in native (i.e. raw) or readable format.
That will allow you to recreate the database and insert the data in the way you want - using the SQL Server import tools, or you can create the insert statements yourself (although you'll start getting trickiness with identity values etc).
I wouldn't recommend doing it yourself though - if you really want this method, try one of the (non-free) tools available. The only one off the top of my head is Apex SQL Script.
On 2008 you can do this using SQL Server Management Studio without any of the nastiness of building scripts or buying another product.
Hope this is helpful!