So then you are talking about cross compiling. You will need to install Cygwin,
and then build a cross-toolchain. This means building binutils and gcc with
--host=i686-pc-cygwin --target=i686-linux-gnu. This is not a simple procedure,
and you should google for "crossgcc" for help. You would then download the
linux kernel sources and configure and build as you would under linux.
However, it's still not clear exactly what you want. The linux kernel you build
this way will be just like any kernel you download from a regular linux distribution,
in that it will not "run under windows". You would have to install it along
with many other utilities onto a seperate partition and boot it just like any
other linux distribution.
If your goal is actually to compile unix-like programs to run under windows,
then you don't want to build a linux kernel. You want to install Cygwin and
compile the sources directly. Cygwin provides much of the posix/unix API so
that most unix type programs will compile cleanly, but sometimes you will still
have to make modifications.
Mingw can also be used for this, but it is not the same thing. Mingw provides
you with a compiler/toolchain that can be used to compile windows binaries using
the stock win32 API and C runtime library, but it does not attempt to emulate
any posix-like functions that don't exist in windows. So, if your program uses
anything that is not in the windows API you will have to either re-write it
to use the windows equivalent, or use Cygwin.
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