More out of interest than anything else, but can you compile a DirectX app under linux?
Obviously there's no official SDK, but I was thinking it might be possible with wine.
Presumably wine has an implementation of the DirectX interface in order to run games? Is it possible to link against that? (edit: This is called winelib)
Failing that, maybe a mingw cross compiler with the app running under wine.
Half answered my own question here, but wondered if anyone had heard of anything like this being done?