Due to a lack of Windows developers, it is a good idea to allow Linux
developers to do at least some basic check of their code.
This HOWTO explains how to set up MinGW cross-compilation under Debian.

First, you need to install the "mingw32" package and get a MPlayer SVN
checkout.

Next, you need quite a lot of dependencies. Since this is for testing and
not actually use, the easiest way is to use this package:
http://natsuki.mplayerhq.hu/~reimar/mpl_mingw32.tar.bz2
NOTE that this is likely to be quite out-dated and might include packages
with security issues, so do not use it to build binaries for real use.

After extracting this package into the MPlayer source-tree,
you only need to run the included linux-mingw.sh to configure (it just runs
./configure --host-cc=cc --target=i686-mingw32msvc --cc=i586-mingw32msvc-cc
--windres=i586-mingw32msvc-windres --ranlib=i586-mingw32msvc-ranlib
--with-extraincdir="$PWD/osdep/mingw32"
--with-extralibdir="$PWD/osdep/mingw32"
--with-freetype-config="$PWD/osdep/mingw32/ftconf") and then run make.

You should be able to run the generated binary with Wine, if you want to.

The steps as command-lines:

sudo apt-get install mingw32
svn co svn://svn.mplayerhq.hu/mplayer/trunk MPlayer-mingw
cd MPlayer-mingw
wget http://natsuki.mplayerhq.hu/~reimar/mpl_mingw32.tar.bz2
tar -xjf mpl_mingw32.tar.bz2
sh linux-mingw.sh
make