I'm a game developer currently working on a multi-platform game entirely developed on Linux (Kubuntu).
I wrote a blog post/tutorial about how to compile OpenGL and SDL code on Windows using MinGW and Cygwin.
This tutorial is not intended for newbies and it could describe steps you won't need for your project (like the ones related to the building tool I'm using: Scons), anyway I hope it could help some developers installing these tools and porting their games on Windows.
Any feedback/comment is welcome. :)