This same type of command should work in windows as well as Linux. Have you tried running this command? What type of error messages are you getting.
I just tested on my local machine with MySQL on Windows XP. The only reason I could see this not working, is that MySQL isn’t on your path. If it isn’t in your path, you need to specify the whole path of the MYSQL executable, or run it from the directory it’s stored in. You could also add the executable to the path if you plan to use the MySQL executable on a regular basis.