I've been experimenting with OpenVPN lately and now would like to generate a package with certain features enabled that require a recompile. I.e. enabling the password caching feature and packaging it with specific certs and profiles.

Basically, is it possible to compile a windows-version/windows-package of the client from linux? If yes, can you give a push in the right direction.

I ask about linux because going through HOW TO on the windows based setup to enable a recompile of the package leaves me with missing dependencies, bad links... it's just a mess.

Yes, it's called a cross compiler. The compiler itself is targeted to Linux, but builds executables that target Windows.

Since cross compiling isn't my bag, my first stop in researching would be Google.

To build a native Windows application using Linux code, try installing and using the MingW compiler - it is a GCC (GNU) compatible compiler suite (C and C++).