I would be a cross-compilation.
The simplest thing to do is -- install Lazarus on Windows and compile your project there.
It is much simpler than cross-compiling and, with cross-compiling, you will certainly have to test the application on Windows.
So, even with cross-compiling, you still need a working Windows system.
In short -- you need a Windows, at least for testing, so better avoid cross-compiling.
If you still want to cross-compile, I have no experience with it, but probably the easiest way is with fpcup-deluxe,
see here.