Manual for cross-compiling a C++ application from Linux to Windows?

The basics are not too difficult:

sudo apt-get install mingw32    
cat > main.c <<EOF
int main()
{
  printf("Hello, World!");
}
EOF
i586-mingw32msvc-cc main.c -o hello.exe

Replace apt-get with yum, or whatever your Linux distro uses. That will generate a hello.exe for Windows.

Once you get your head around that, you could use autotools, and set CC=i586-mingw32msvc-cc

CC=i586-mingw32msvc-cc ./configure && make

Or use CMake and a toolchain file to manage the build. More difficult still is adding native cross libraries. Usually they are stored in /usr/cross/i586-mingw32msvc/{include,lib} and you would need to add those paths in separately in the configure step of the build process.