We will create three files in this cross-compilation "hello world" example following these steps:

1. Create a directory holding hello-world.cpp and CMakeLists.txt, which we listed previously.
2. Create a toolchain.cmake file which contains the following:

# the name of the target operating system
set(CMAKE_SYSTEM_NAME Windows)

# which compilers to use
set(CMAKE_CXX_COMPILER i686-w64-mingw32-g++)

# adjust the default behaviour of the find commands:
# search headers and libraries in the target environment
set(CMAKE_FIND_ROOT_PATH_MODE_INCLUDE ONLY)
set(CMAKE_FIND_ROOT_PATH_MODE_LIBRARY ONLY)
# search programs in the host environment
set(CMAKE_FIND_ROOT_PATH_MODE_PROGRAM NEVER)

3. Adjust the CMAKE_CXX_COMPILER to the corresponding compiler (path). 
4. Then, configure the code by pointing CMAKE_TOOLCHAIN_FILE to the toolchain file (in this example, the MXE compilers built from sources were used):

$ mkdir -p build
$ cd build
$ cmake -D CMAKE_TOOLCHAIN_FILE=toolchain.cmake ..

-- The CXX compiler identification is GNU 5.4.0
-- Check for working CXX compiler: /home/user/mxe/usr/bin/i686-w64-mingw32.static-g++
-- Check for working CXX compiler: /home/user/mxe/usr/bin/i686-w64-mingw32.static-g++ -- works
-- Detecting CXX compiler ABI info
-- Detecting CXX compiler ABI info - done
-- Detecting CXX compile features
-- Detecting CXX compile features - done
-- Configuring done
-- Generating done
-- Build files have been written to: /home/user/cmake-recipes/chapter-13/recipe-01/cxx-example/build

5. Now, let us build the executable:

$ cmake --build .

Scanning dependencies of target hello-world
[ 50%] Building CXX object CMakeFiles/hello-world.dir/hello-world.cpp.obj
[100%] Linking CXX executable bin/hello-world.exe
[100%] Built target hello-world

6. Note that we have obtained hello-world.exe on Linux. Copy the binary to a Windows computer.
7. On a Windows computer, we can observe the following output:

Hello from Windows

8. As you can see, the binary works on Windows!