A bit longer answer:
Not on linux for sure, because, for some reason, the endianess of the binaries on those two platform are different.
I'm not sure on *BSD...
BTW, on *NIX a file extension is not necessary
It uses other tricks to know which files it can run (the permissions).
You could add the suffix .exe, if you so desire, but the file doesn't magically turn itself into a windows executable...
edit: you could try and cross-compile, but perhaps releasing the source and let anyone who is interested in to compile it on his/her own is perhaps the better solution, PROVIDED that you are using multiplatform libraries, better yet if free
A *NIX user is supposed to be savvy enough to know how to compile something, anyway :p