How do i write the relationship query in Salesforce data loader?

Hi Suraj,

You cannot extract related list records via Dataloader.
Nested query is not supported.
You can run only relateionship query like this via Dataloader.
—-
SELECT Id, Name, Account.Name FROM Contact
—-

Try to run your query via Workbench.

Workbench
http://wiki.developerforce.com/page/Workbench

Thanks.