How can I load jquery library into my dashboard widget?

You need to enqueue your script at certain points. Rather than just placing the wp_enqueue_script call inside your dashboard widget function, you need to place it in a separate function and hook on to the proper action.

So:

function add_jquery_to_my_widget() {
    wp_enqueue_script( 'jquery' );
}
add_action( 'init', 'add_jquery_to_my_widget' );