Never done it, so I don't know how to do it, but
MinGW seems ty do this quite well. At least Ubuntu/Debian have packages for them in the standard repositories:
Code:
apt-cache search mingw
mingw32 - Minimalist GNU win32 (cross) compiler
mingw32-binutils - Minimalist GNU win32 (cross) binutils
mingw32-runtime - Minimalist GNU win32 (cross) runtime