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
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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
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A *NIX user is supposed to be savvy enough to know how to compile something, anyway :p