Libraries/binaries will be installed under $HOME/cross-win32
.
apt-get install mingw-w64
http://zlib.net/zlib-1.2.8.tar.gz
CROSS_PREFIX=i686-w64-mingw32- ./configure --prefix=$HOME/cross-win32 --static
make && make install
http://sourceforge.net/projects/libpng/files/libpng12/1.2.56/libpng-1.2.56.tar.gz
LDFLAGS=-L$HOME/cross-win32/lib CPPFLAGS=-I$HOME/cross-win32/include ./configure --host=i686-w64-mingw32 --prefix=$HOME/cross-win32
make && make install
https://www.libsdl.org/release/SDL-1.2.15.tar.gz
./configure --host=i686-w64-mingw32 --prefix=$HOME/cross-win32
make && make install
https://sourceforge.net/projects/glew/files/glew/1.13.0/glew-1.13.0.tgz
make SYSTEM=linux-mingw-w64 PREFIX=$HOME/cross-win32 GLEW_DEST=$HOME/cross-win32 install
https://icculus.org/physfs/downloads/physfs-2.0.3.tar.bz2
mkdir build
cd build
cmake -DCMAKE_C_COMPILER=i686-w64-mingw32-gcc -DCMAKE_CXX_COMPILER=i686-w64-mingw32-g++ -DCMAKE_SYSTEM_NAME=Windows -DCMAKE_FIND_ROOT_PATH=${HOME}/cross-win32 -DCMAKE_INSTALL_PREFIX=${HOME}/cross-win32 ..