How do I mirror a database from remote Linux into Windows localhost? I would like to mirror Linux dev.example.com into Windows dev.example.com.local properly to be able to do development locally.


I have already set up xampp and hosts (dev.example.com.local)
I have created localhost mysql database instance (dev). 
I have set up Drupal 7 settings.php on local.
I can export remote db into sql.zip file and I can import it into local db 


The key question I have now is 
how to properly handle mysql export and import to make sure both local and remote mysql instances are in sync? 

I bet Step 4 is not enough here.
Step 4 is enough, they both will be in sync until you change data on one or the other instance.

As a bonus tip, you can ease this procedure by using drush to sync your environnements, via the use of drush aliases.  

More details on this here.

Good-luck friend, happy coding.