You'll need a cross-compiler (i.e. a compiler that runs on Windows, but which produces executables in Linux / OS X format), as well as all the dependencies that SFML uses. You should be able to find a toolchain based on gcc, but I'm pretty sure you won't be able to compile for OS X.
Note that this is the hard way. It's much easier to setup a virtual machine and compile natively. Again, you'll have problems with OS X (virtualizing OS X works if you have the hardware, but it's illegal), so you'd better ask someone who owns a Mac to compile it for you.
