This is an article for usage with avet, my antivirus evasion tool you can find here:
I had some trouble using mingw cross compiler. It should work fine, so I suggest you try that first.
But if you want an alternative, here is how to use tdm for windows with wine in kali (2016.2).
First, download from:
Then install with wine:
# wine tdm64-gcc-5.1.0-2.exe
Then simply go through the gui installation:
After successful installation you can compile stuff for windows with:
wine gcc.exe mycode.c