As mentioned by other answerers, the cross-compilation feature is removed from PyInstaller since 1.5. Here, show how to package a Windows executable from Python scripts using PyInstaller under wine.
Step 1: Install wine and Python
sudo apt-get install wine wine msiexec /i python-2.7.10.msi /L*v log.txt PS: Newer Python versions already include pip (is used to install pyinstaller). Download Python installation package from here (e.g., python-2.7.10.msi)
Step 2: Install PyInstaller on wine