with a CMake toolchain file, but I just figured out how I could do this. I just got the windows package and copied the contents of lib and include to the proper locations under /usr/i686-w64-mingw32/ and /usr/i686-w64-mingw32, I was then able to successfully compile the example pong for windows and run it via wine.
This could be useful info, perhaps I could make a tutorial for it...