This tutorial will walk you through the process of compiling your own native programs for Windows using the Ubuntu on Windows. While the development environment and Swift compiler used here will be the standard toolchain for Linux, you'll also be able to cross-compile programs that run natively on Windows like any other executable.
This tutorial assumes a computer running an up-to-date 64-bit version of Windows 10 (at the time of writing, the Fall Creators' Update was the most recent build).
You'll also need Visual Studio 2017; the Community Edition is sufficient, since we'll only be using the SDKs that come with it and some command line tools.