Yes copy the adb folder files in the Xiaomi folder.
Why don´t you apply the exact steps???
If i say cd C: Xiaomi do it. You have the files in that folder, not in C: Windows
Steps:
1. Create a folder in C: called Xiaomi
2.Unzip twrp.zip, rename the .img to twrp.img and copy it to the folder C:\Xiaomi ,also copy the fastboot files to that folder.
3. cd C:\Xiaomi (try with administrator rights)
4. fastboot flash recovery twrp.img
Alex, you have to enable file extensions in windows. In that folder got the view (Beeld) tab and enable it.
Also you have to change the directory in cmd to the directory where you have the files because i can see you are on C:\ system32 by default. In your case you have to type: cd C:\adb and...
It doesn´t work on Mi Max, i don´t know why...it says can´t verify update. The same problem with the last week miui 8.
As I say no problems with my old redmi note 2 (miui 7)until I sold it two weeks ago and change to mi max.