With the following steps, we will manage to cross-compile an OpenMP-parallelized Windows executable:

1. Create a directory holding example.cpp and CMakeLists.txt, which we listed previously.
2. We will use the same toolchain.cmake as in the previous recipe:

# 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
-- Found OpenMP_CXX: -fopenmp (found version "4.0")
-- Found OpenMP: TRUE (found version "4.0")
-- Configuring done
-- Generating done
-- Build files have been written to: /home/user/cmake-recipes/chapter-13/recipe-02/cxx-example/build

5. Now, let us build the executable:

$ cmake --build .

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

6. Copy the binary example.exe to a Windows computer.
7. On a Windows computer, we can see the following example output:

$ set OMP_NUM_THREADS=1
$ example.exe 1000000000

number of available processors: 2
number of threads: 1
we will form sum of numbers from 1 to 1000000000
sum: 500000000500000000
elapsed wall clock time: 2.641 seconds

$ set OMP_NUM_THREADS=2
$ example.exe 1000000000

number of available processors: 2
number of threads: 2
we will form sum of numbers from 1 to 1000000000
sum: 500000000500000000
elapsed wall clock time: 1.328 seconds

8. As we can see, the binary works on Windows and we can observe a speed-up thanks to the OpenMP parallelization!