To run the command-line mysql client, you merely need to specify the correct path to mysql.exe, which depends on where you installed XAMPP.
> C:\Program Files\xampp\mysql\bin\mysql
If you add that path to your Windows environment variables, then you would only need to type "mysql". I'm not running Windows at the moment, but I think that's done in My Computer >> right-click >> Properties.
Once you're running the mysql client, it should work the same in Windows as in Linux. The other command-line utilities should work too: mysqldump, mysqladmin, etc.