You'll make your life a lot easier, if you grab a copy of Windows and run it in a VM or similar.
Cross-compilation to Windows sounds great on paper, but it requires quite some fiddling and configuration to get it somewhat to work and even then, you don't really that it will actually run on Windows, since you don't have a native install to test it on.
Anyways, the provided error messages tell you exactly what's missing, it's looking for a certain set of DLLs and you didn't provide those (they need to be put next to the executable)
