CL advises that Xmingwin is not like many other projects; generating a correctly-installable version is hard and rather magical. Jean-Claude Wippler, as is usual for him, has taken the incredibly generous initiative of making working installable packages publicly available here [L1 ], including ones for x86 Linux and MacOS X.
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.]
While someone once wrote, "To set up an Xmingwin cross compiler use the script provided by Mo DeJong (a copy is available at [L2 ] (notice the one bogus newline in the middle of 'BASE_URL=...' which needs to be removed). This script downloads Xmingwin, builds it and installs under /usr/local/Xmingwin (you can edit the script and change the PREFIX variable if you want to install it elsewhere)", CL found that xmingwin.sh unworkable in October 2002. Here's another such script, which no Tcl-er has yet tried: http://www.astro.gla.ac.uk/users/paulm/Scripts/build-mingw-cross.sh