Cross compiling a package for Windows on Linux

I would like to compile for Windows a rather simple R package that
contains some C code.  It does not contain any Fortran code.

I tried the cross-compilation route using the pre-built set of tools
from http://www.devolution.com/~slouken/SDL/Xmingw32/, as described in
$R_SRC/src/gnuwin32/INSTALL

Using the sources in r-devel from the rsync site I am able to build
libR.a in src/gnuwin32 but I can't build the package.  Using the

sources in r-release-patched from the rsync site I am unable to build
libR.a.  The tail end of that compilation log is

 $ cd r-release/src/gnuwin32/
 $ make
 mkdir -p ../../bin 
 make -C ./fixed

 make[1]: Entering directory `/usr/src/r-release/src/gnuwin32/fixed'
 -------- Building ../../../library/base/R/Rprofile from ../../library/profile/Common.R ../../library/profile/Rprofile.gnw--------
 mkdir -p ../../../library/base/R
 cat  ../../library/profile/Common.R ../../library/profile/Rprofile.gnw > ../../../library/base/R/Rprofile
 sed -e '/^#/d' -e '/Rsockfork/d' -e 's/F77_SUBROUTINE(\(.*\))/void * \1_();/' -e 's/C_FUNCTION(\(.*\))/void * \1();/' ../../appl/ROUTINES > ../../include/FFDecl.h
 sed -e '/^#/d' -e '/Rsockfork/d' -e 's/F77_SUBROUTINE(\(.*\))/	{ "\1_",	\1_},/' -e 's/C_FUNCTION(\(.*\))/{ "\1",	\1 },/' ../../appl/ROUTINES > ../../include/FFTab.h
 sh ./GETCONFIG > ../../include/Rconfig.h
 sh ./GETVERSION > ../../include/Rversion.h
 cp -p ./h/config.h ./h/psignal.h ../../include
 echo done > fixh
 (cd ../../../doc; \
 cat html/search/SearchEngine-head.html > html/search/SearchEngine.html; \
 perl ../src/gnuwin32/fixed/keywords2html KEYWORDS.db >> html/search/SearchEngine.html; \
 cat html/search/SearchEngine-foot.html >> html/search/SearchEngine.html)
 cp -p ./r/*.html ../../../doc/html
 echo done > fixr
 cp -p  bin/Rd2dvi.sh bin/Rd2txt.bat bin/Rdconv.bat bin/Rdindex.bat bin/Sd2Rd.bat bin/fwf2table bin/helpPRINT.bat ../../../bin
 echo done > fixbin
 cp -p etc/Rconsole etc/Rdevga etc/Rprofile etc/rgb.txt ../../../etc
 echo done > fixetc
 ...  (many lines deleted)
 i386-mingw32-gcc -isystem /packages/R-X/i386-mingw32/include   -O2 -Wall -pedantic -I../include -I../include/R_ext -DHAVE_CONFIG_H  -c zeroin.c -o zeroin.o
 i386-mingw32-g77 -O2 -Wall -pedantic  -c blas.f -o blas.o
 make[1]: i386-mingw32-g77: Command not found
 make[1]: *** [blas.o] Error 127
 make[1]: Leaving directory `/usr/src/r-release/src/appl'
 make: *** [rlibs] Error 2
 $ make libR.a
 i386-mingw32-gcc -isystem /packages/R-X/i386-mingw32/include   -O2 -Wall -pedantic -I../include -I../include/R_ext -I. -DHAVE_CONFIG_H  -c console.c -o console.o
 i386-mingw32-gcc -isystem /packages/R-X/i386-mingw32/include   -O2 -Wall -pedantic -I../include -I../include/R_ext -I. -DHAVE_CONFIG_H  -c dataentry.c -o dataentry.o
 i386-mingw32-gcc -isystem /packages/R-X/i386-mingw32/include   -O2 -Wall -pedantic -I../include -I../include/R_ext -I. -DHAVE_CONFIG_H  -c devga.c -o devga.o
 i386-mingw32-gcc -isystem /packages/R-X/i386-mingw32/include   -O2 -Wall -pedantic -I../include -I../include/R_ext -I. -DHAVE_CONFIG_H  -c dodevga.c -o dodevga.o
 i386-mingw32-gcc -isystem /packages/R-X/i386-mingw32/include   -O2 -Wall -pedantic -I../include -I../include/R_ext -I. -DHAVE_CONFIG_H  -c dounzip.c -o dounzip.o
 i386-mingw32-gcc -isystem /packages/R-X/i386-mingw32/include   -O2 -Wall -pedantic -I../include -I../include/R_ext -I. -DHAVE_CONFIG_H  -c dynload.c -o dynload.o
 i386-mingw32-gcc -isystem /packages/R-X/i386-mingw32/include   -O2 -Wall -pedantic -I../include -I../include/R_ext -I. -DHAVE_CONFIG_H  -c edit.c -o edit.o
 i386-mingw32-gcc -isystem /packages/R-X/i386-mingw32/include   -O2 -Wall -pedantic -I../include -I../include/R_ext -I. -DHAVE_CONFIG_H  -c extra.c -o extra.o
 extra.c: In function `Rwin_fpset':
 extra.c:452: warning: implicit declaration of function `_fpreset'
 extra.c:453: warning: implicit declaration of function `_controlfp'
 extra.c:453: `_MCW_EM' undeclared (first use in this function)
 extra.c:453: (Each undeclared identifier is reported only once
 extra.c:453: for each function it appears in.)
 make: *** [extra.o] Error 1
 $ i386-mingw32-gcc --version
 2.95.2

Edit MkRules to set BUILD=CROSS and the appropriate paths as needed.

With the sources from r-devel, which have been changed today, I can
generate libR.a but I cannot build a library, even with libR.a.  
I tried building the nls library just as a test.  The errors reported

make pkg-nls are

 $ make pkg-nls