I am using gcc/g++ to compile c/c++ applications - living on OpenSuSe btw.
Is there any way (some option i guess) so that g++ will produce an executable suitable for windows ?
You can search for a mingw32 package in OpenSuSE (I know there is one for Debian) or install it manually. Then if you have a configure script the command line would be something like this in order to have make use the MinGW cross-compilation toolchain:
./configure --prefix=/usr/local --target=i386-mingw32
mingw.org also has a tutorial on building a cross compiler, don't know if that works.
(As an aside: Some websites point to mirzam.it.vu.nl/mingw containing MinGW RPM packages but it seems like that site is down.)