Building for Windows from another platform requires an installation of mingw (similar to what we installed on Windows to support CGo). The details for setting up cross-compilation can be found in the Cross compiling for Windows with CGo section of an Appendix, Cross-Compiler Setup.

The main steps are outlined here for quick reference:

Using your package manager (Homebrew on macOS and various on Linux), install the mingw package, which is usually named mingw-w64-clang or w64-mingw. If you cannot find this package, it can be installed directly using the instructions at https://github.com/tpoechtrager/wclang. 

Once installed, we need to set up the appropriate build flags—specifically CC=x86_64-w64-mingw32-clang (for the C toolchain) and CXX=x86_64-w64-mingw32-g++ (for C++ requirements). Assuming you also have set CGO_ENABLED=1 and GOOS=windows, you can build the Windows binary. Looking at the resulting hello.exe file, you can see it's an MS Windows binary:

When building from macOS, you can use Homebrew to install the mingw-w64 package.