The function $\sqrt{\ }$ is not defined on $\mathbb C$, roughly for the reason you explain. Note that it is not even defined on $\mathbb R$. What is well defined is a function $\sqrt{\ }:\mathbb R_+\to\mathbb R_+$, which everybody knows.
Thus, "compute $\sqrt{x}$" when $x$ is in $\mathbb C\setminus\mathbb R_+$ can only mean providing the two complex numbers $z$ and $-z$ such that $z^2=x$. If $x=5+12\mathrm i$, you showed that $\{z,-z\}=\{3+2\mathrm i,-3-2\mathrm i\}$.
Edit: As mentioned in the comments, one can define a function $v$, continuous on the angular sector $(-\pi,\pi]$, and such that $v(z)^2=z$ for every $z$. Each $z$ in $\mathbb C$, $z\ne0$, can be uniquely written as $z=r\mathrm e^{\mathrm it}$ for some $r\gt0$ and $-\pi\lt t\leqslant\pi$. Define $v(0)=0$ and $v(z)=\sqrt{r}\cdot\mathrm e^{\mathrm it/2}$ for every such $z\ne0$.
Note that $v$ is continuous but for a twisted topology of the complex plane $\mathbb C$, where the (small) neighborhoods of every $z$ not in $\mathbb R_-^*$ are the usual (small) ones and the (small) neighborhoods of $z$ in $\mathbb R_-^*$ are the intersections of the usual (small) ones with the halfplane $\Im\geqslant0$. In particular, for every $r\gt0$, $v(r\mathrm e^{\mathrm it})\to-\mathrm i\sqrt{r}$ when $t\to-\pi$, $t$ in $(-\pi,\pi]$, while $v(r\mathrm e^{\mathrm it})\to+\mathrm i\sqrt{r}$ when $t\to\pi$, $t$ in $(-\pi,\pi]$.
$(-3 - 2i)^2 = (-1)^2(3 + 2i)^2 = (3 + 2i)^2 $
– MT_ Oct 12 '13 at 13:02