You can write using Winelib (http://www.winehq.org/winelib), using the windows API and mingw (http://www.mingw.org/wiki/LinuxCrossMinGW). It's not really the cheapest option in terms of development investment, but it works. You will be able to test the software on linux and windows.

Can't say I like this option, though. Win32 is awful tedious without some abstraction.