I wish to build a compiler (GCC port) for Linux, so that the built GCC runs on Windows and creates executables for an embedded platform.
Is the above possible?
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Yes, it is possible.
It also utterly painful to try to do this yourself — it is OK on Linux, mostly, but very tricky on Windows. My suggestion is to see if some ready-built compiler from a place like DENX.de, CodeSourcery, or the manufacturer of your embedded platform is available.
I have become a huge fan of the CodeSourcery compilers for platforms like MIPS and Power Architecture. They tend to come with variants for big- and little-endian, various Libc flavors, and to have both bare-metal and linux-target versions available. See their pages about their Lite edition
Building your own cross-compiler and toolset is a right pain.
If your target is running Linux, I suggest doing your cross-work on a Linux box as well, saving you plenty of pain. I use VmWare for that express purpose. You cannot expect to build a Linux for a target on Windows, for example.