If you want to write console applications in Linux for Windows, you can compile the final .exe after testing in Linux with
DJGPP. This will allow you to use most glibc functions in Windows, but it won't do Windows GUIs. It's really a great program if you have console applications that don't have dependencies other than the standard Linux C functions, plus you don't have to go through the headache of creating a Windows cross-compiler.
ta0kira
PS DJGPP runs under Windows, so you'd have to transfer your code to Windows from Linux for the final step. I think you need to install some version of
make and maybe
bash for it to work with KDevelop projects, so maybe if you have a really simple application! Admittedly not the solution for most projects, but a great solution for some, like command-line tools.