Cross compilation involves building a compiler for one architecture on another. In this case mostly building a gcc compiler for StrongARM or XScale on Intel X86. Several pre-compiled toolchains are available:
You can also try crosstool, a set of automatic build scripts that makes building your own toolchain a lot easier.
Note: more recent gcc versions make building a cross compiler a lot easier.
just '--target=arm-wince-pe' to the configure commandline,
( and remove the underscore from USER_LABEL_PREFIX in arm/pe.h )