There are things you can do with cross-compile chains and whatnot, but it's honestly too complex to be worth your time (and I say that as someone who uses Linux for a living, and is even typing this from his work Linux desktop).
A far easier method is running Linux in a VM (VirtualBox is free and easy to use), and compiling things from there.
If you're still interested, google "Linux cross compile", and follow the guides there. They're all fairly generic, and cover compiling on one architecture for another (for example, you can compile quickly on a powerful x86 machine and create binaries and libraries that will work on a low-power ARM computer like a Raspberry Pi). I'm not even sure if the version of Ubuntu's userspace for Windows ships the cross compile tools, but that'll be an adventure in itself for you to dig into.