You will need windows to compile windows wallet. Under Ubuntu you may use a virtual machine with windows.
I heared most windows wallets are compiled under linux tough.... i guess they use wingw and mxe.
I cannot succeed in this myself (i tried to make a coin for usage in our family, the sourcecode, daemon and linux wallet took me less than a day, crosscompiling the windows wallet didn't succeed after 2 days... that's when i gave up)