The general outline of building a cross-toolchain is described in http://gnutoolchains.com/building.
However in most of the cases you will face multiple build errors, as the GNU tools are quite fragile and often incompatible and require ad hoc fixing. We do offer a custom toolchain building service. I.e. if you provide us with a snapshot of your Linux system, we would build an equivalent Windows cross-toolchain for you. Please contact our sales to get a quote for that.
You can alternatively use VisualGDB with clang. As clang command-line options are compatible with gcc, simply replace the gcc executables with clang executables in debug.mak and release.mak