Only the source code could even possibly cross platforms and still function properly. If you compile it on a windows machine its going to hook into libraries that simply don't exist on your linux machine.
Knoppix was by far the best idea. Just throw in a live CD that you can boot off of on your faster machine, and run your compile there. Then just move the binary to your full fledged linux machine.
Or, just ditch XP all together

*ducks*