The trouble with cross-compiling from Linux to Windows is that you don't get access to any of the features in new Windows versions, especially Vista and above.

The trouble with cross-compiling from Linux to Windows is that you don't get access to any of the features in new Windows versions, especially Vista and above. This may be fine for a CLI program, but your only option to produce a first-class Windows GUI program is to compile on Windows using Visual C++ and the latest SDK.