How to make drush to work correctly in Windows?
I'm going to assume that you're trying to ask how to get drush working in windows. 

If you consult the documentation there is a windows installer:


  The Drush Windows Installer provides a convenient way to install Drush
  and the components it needs in order to run on Microsoft Windows. You
  may download it from the attachments list at the bottom of this page.
  Please see the installation guide below for instructions on how to run
  the installer.


Furthermore, if you're trying to get drush working before 5.7 there's a manual installation guide if you need to:


  The Drush Make command does not work in Windows 7 / Vista, when using
  Drush release 5.5, 5.6, or 5.7. However, the current development
  version of Drush fixes this issue! The only problem is there is no
  windows installer program for this version.
  
  No worries. This article provides instructions for manually installing
  the latest development version of Drush in Windows.


Update:


  For example drush sql-dump returns this error :
  
  'mysqldump' is not recognized as an internal command


This is a seperate and non-drupal issue. This is caused because drush doesn't know the path to mysql.exe. You need to update your paths in order for msqldump to work. Search super user or stackoverflow regarding mysql, windows and or path together in order to get an answer. I used to know this but it's been too many moons.