How to install mingw on Linux

From your distributions repository

For most Linux distributions you will probably find mingw is already part of the distribution and/or repository for that distribution.
For example for Ubuntu 10.04 open a terminal and type
apt-get update sudo apt-cache search mingw
This should update your cache and then apt should find mingw and report something like below
mingw32 - The GNU Compiler Collection (cross compiler for MingW32) libconfig - parsing and manipulation of structured configuration files(C++ binding) libconfig++8-dev - parsing and manipulation of structured config(C++ development) libconfig8 - parsing and manipulation of structured configuration files libconfig8-dev - parsing and manipulation of structured config files(development) mingw-w64 - Minimalist GNU w64 (cross) runtime mingw32 - Minimalist GNU win32 (cross) compiler mingw32-binutils - Minimalist GNU win32 (cross) binutils mingw32- Minimalist GNU win32 (cross)
Then simply install mingw as followssudo apt-get install mingw32-binutils mingw32 mingw32-runtime

From source

If mingw is not in your repository or you want a newer/specific version of mingw then you will need to download mingw and compile it - see here http://sourceforge.net/projects/mingw/files/MinGW/
This should download a tarball named something like x86-mingw32-build-1.0-sh.tar.bz2. Save this and extract to a place of your choice. Use the following to extract for example
tar xvf x86-mingw32-build-1.0-sh.tar.bz2
And then execute the following
sh x86-mingw32-build.sh i586-pc-mingw32
Where x86-mingw32-build.sh is a script from the tarball and i586-pc-mingw32 is the platform I am targeting.