I think he's a windows developer, comfortable mostly with IDEs like Visual C++. He'd like to build winecfg as a .exe on Wine, test it there, and also try running it on Windows (at least part of it should kinda work there).
Here's what I told him:
On Ubuntu, 'sudo apt-get install mingw' should install a good compiler. However, it might not be easy to build winecfg with mingw. Ask on wine-devel if you have trouble. See also http://wiki.winehq.org/JohnKlehm http://www.winehq.org/pipermail/wine-devel/2006-December/053069.html If I were you, I'd just use Wine's normal build system on linux and not even try to generate .exe's for now. - Dan