Gold dust is just means very small gold particles. Gold dust is formed the same way that all small sediment particles such as sand are formed.

Imagine a long river that flows from the mountain tops to the ocean. Overtime this river will move two things: water and rocks. The water you can see flowing anytime you go to the rivers edge, but the rocks you will only see moving if you happen to be on the rivers bank during a big flood. You might wonder how the rocks got into the river in the first place. Originally a rock might fall from a cliff right into the river. Or the river might erode a chunk of rock from some bedrock that it flows over. In the same way that these rocks end up in the river, sometimes chunks of minerals, including gold can end up in the river. For example, maybe the river flows over a gold vein and slowly over long periods of time chunks of the gold are eroded by the river. These eroded gold chunks become part of the river sediment. Overtime time these chunky rocks (scientifically they are called angular rocks) are transported downstream during floods, eventually ending up in the ocean. As these angular rocks are transported downstream, two things happen. One, they bounce along the bottom of a river during a flood and become worn (scientifically we call these rounded rocks). Two, some of the rocks break up into smaller and smaller pieces. Overtime a large angular rock can be broken up into small gravel, then sand, and finally silt or clay. The same thing happens to the gold chunk. As the gold chunks is transported downstream during the flood it bounces along and hits other rocks. This rounds the nugget. In other cases the nugget is smashed up into smaller and smaller pieces during the flood until some of it becomes so small we call it gold dust. This process happens slowly over hundreds and thousands of years. It takes a long time and many floods for a large angular piece of gold to be worn down into gold dust.

I suppose the other way you can get gold dust is mechanically. Someone takes a chunk of gold and they machine it until it turns into a fine dusty material. You could also make your own gold dust in a rock tumbler which mimics the river process. I wonder how long it would take.