Here it was planned to place the instructions for Cross-Compiling OpenFOAM 2.0 in Linux for Windows, but it never came to be.
Unfortunately, due to time constraints, the task of filling this page has been postponed indefinitely.
Please refer to the old instructions available at openfoamwiki.net: Tip Cross Compiling OpenFOAM in Linux For Windows with MinGW
If you have the time, feel free to document the steps yourself at that wiki page. If you are willing to fund this effort, please contact blueCAPE Lda.
In a nutshell:
git checkout blueCFD-2.0-1-release