Here are some instructions to setup MinGW on different Linux distributions and *BSD.
This includes Debian GNU/Linux, Ubuntu, etc. The following step should probably work on any deb based system.
Run apt-get install mingw32.
This includes Fedora, Red Hat Enterprise Linux, Mandrake, most probably SuSE Linux too, etc. But this list isn't exhaustive; The following step should probably work on any rpm based system.
Run yum install mingw32-gcc.
The *BSD systems have in their ports collection a port for the MinGW cross-compiling environment. Please see the documentation of your system about how to build and install a port.
Having the cross-compiling environment set up the generation of the Windows executables is easy by using the Wine build system.
If you had already run configure, then delete config.cache and re-run configure. You can then run make crosstest. To sum up:
$ rm config.cache $ ./configure $ make crosstest