What is the best way to build open source libraries DLLs for Windows developers to use?

You can try Mingw with MSYS, Visual Studio (Express) with SUA (subsystem for unix application) or Cygwin to compile programs that are automake/autoconf based (./configure && make to build under linux).

Unfortunately usually the lib file they create is not compatible with other compilers, so if you want your library to work with an application that is developed using Visual Studio, then you should use the VSC++ approach. Usually a lot of GNU projects (check gnuwin32) actually have VC compatible build scripts too, than can be compiled using "nmake"

You could use MinGW or install the MSVC command line tools from Visual Studio Express.

Either of those can be driven by command line scripts.

I imagine a cross compile from Linux would also work, but I have no idea how easy (or painful) that might be to get going.

This short article shows a simple cross compile of a Windows application & running that app under Wine:

• http://www.linuxjournal.com/node/1005753

The Windows Software Development Kit includes Microsoft's C/C++ compiler (command line only with no visual tools), so you don't even need Visual C++ Express Edition. The Windows SDK is a free download from Microsoft.