After some playing with distutils to make cross compilation using them possible, I finally gave up. Maybe I did not understand some part of guide, but resulting library only crashes Python.
So I googled once more and I found another approach to cross compile Python extensions for Windows on Linux.
And it was quite simple to do it. First you need Windows installer for Python. Now you need to get dll and includes out of this. I decided to leave hard work on Wine and hoped it will work:
/usr/bin/msiexec /i /tmp/python-2.5.msi
Thanks to Matthew Mueller for great howto! BTW: I tested it with Python 2.5 and MinGW 3.4.5.