Milan,
Have you seen this link?
http://www.cmake.org/Wiki/CmakeMingw
It looks like you may have build your own CVS version of CMake on linux
first. If you check out the latest CMAKE source code, and then build
that and use it, you may be able to get your Windows builds done on
linux. I saw postings on the CMake mailing lists how version 2.5.x of
CMAKE (i.e. a CVS, unreleased as of yet version) has the cross compiler
support in it.
Good luck,
Dick
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