http://www.libsdl.org/extras/win32/cross/
I'm testing right now. If it works, heh heh....

I got NSIS up and running in Wine, but for some reason my Wine installation doesn't let me pass arguments to makensis. Soon as I solve that little problem, I will hopefully be able to build anything, anytime, for Winders, without ever having to boot into Winders (which is currently impossible because I don't have Winders installed anywhere near me).
Now to see if I can build Python with this. Oooo the possibilities.... (but first, LADSPA plugins)