For x86-Linux-to-Windows, Rolf Ade favors the binaries at http://www.stats.ox.ac.uk/pub/Rtools/mingw-cross.tar.bz2 . One typically unzips .bz2 with "bunzip2".
This binary image requires GNU libc 2.2.
Add the bin dir of the mingw cross compiler to your PATH. (You could also use the mingw32/bin dir, with links with 'standard' names - gcc, ar, ranlib etc. - to the real program's in bin, but be careful to not fool yourself with different 'gcc's in your PATH.)
[Explain example.]