- Never connect/pair the Wii remote to Windows directly. The operating system may interfere with Dolphin's ability to connect with the Wii remote.
- To connect a Wii remote, open Dolphin, then go to Controllers, select Real WiiMote and press "Refresh", then press and hold the "1 and 2" buttons simultaneously on the Wii remote. Or press and hold the "Sync" button for those Wiimotes that have motion plus inside (-TR Wii remotes).
- If the remote does not seem to want to connect, make sure that any real Wiis in proximity are switched off for the duration of the pairing process.
- If all this doesn't work, then try Bluetooth Passthrough.
Also what version of Dolphin are you using? I suggest you to download the latest beta/development version from here.