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Cross compiling a package for Windows on Linux

before
Indeed it does.  To make life a bit easier I have put up a complete
current cross-tools set with the latest headers at

http://www.stats.ox.ac.uk/pub/bdr/RWin/i386cross.tar.bz2  (ca 5Mb)

Just unpack it somewhere, put the bin directory in your path and
follow the instructions in INSTALL.

The caveat remains, though: this is not tested frequently.