Hi all !
I have done more work on the ocaml cross-compiler for windows.
I have succesfully compiled a fairly large application which runs on windows.
Hence, I believe the package may be tested now if you are interested.
The package can be found in the mingw32-ocaml git repository  and compiles
under cowbuilder on amd64.
For the details, I have finally choosed to locate the standard files in
/usr/i586-mingw32msvc/lib/ocaml, which seems consistent with the location of
the files shipped by mingw32.
The package now also includes a support for ocamlfind. In order to use it, you
should set the environment variable OCAMLFIND_CONF to /etc/i586-mingw32msvc-
In order to also force the build system to choose the ocaml cross-compiler,
you may add /usr/i586-mingw32msvc/bin at the beginning of the PATH variable:
Eventually, when the build system uses the autoconf tool, you can build the C
libraries with the following options:
./configure --prefix=/usr/i586-mingw32msvc --host=i586-mingw32msvc
It is convenient to install those libs directly in /usr/i586-mingw32msvc,
though not very clean. However, it seems that /usr/i586-mingw32msvc/local is
not recognized by the mingw32 cross-compiler.
Please, let me know if you have any feedback from this..