From Windows to Linux, the best way is to install a virtual machine. Or even a native Linux on another partition. A native build is always simpler and better than using a cross-toolchain.
I'd say to do the same for Windows, but since you have to pay for it...
I've never used it, but from what I heard mingw32 is the easiest way to cross-compile applications for Windows. So all you need is more tutorials and more practice