I've just uploaded a new version of the Windows build scripts. This version should work now.
The new libsdl download locations are a bit unfortunate, because they will not work from behind http proxies or restrictive firewalls (due to non-http/non-ftp port). The SDL team says they are working on a better solution.
That said, using the build script will currently create a debug version of this game. This version should not be used for playing.
Yes, you can compile a Windows exe on Linux. See
http://sourceforge.net/project/showfiles.php?group_id=2435&package_id=12644&release_id=17892
However, I would not recommend doing this with PokerTH. You would have to cross-compile all dependency libs, and the corresponding build scripts clearly do not directly support cross-compiling. A lot of manual work would be required. I'm not doing this, I'm natively compiling on Windows.