I\'ve installed Go 1.2 on a Windows machine, wrote up a dummy program and set the environment variables GOARCH and GOOS to \"AMD64\" and \"linux\"
To cross-compile Go, fist you need to be able to build Go from the source code. To do that, it looks like you need to install MinGW to get gcc and other tools. Help on that is at https://code.google.com/p/go-wiki/wiki/WindowsBuild.
From there, here's how it goes if it's like Linux cross-compiling:
First cd to your your go\src directory. If you're not sure where that is, type go env and you'll see a line like GOROOT="\some\dir\" in the output; just do cd \some\dir\src\
Then, with GOOS=linux and GOARCH=amd64 set, type .\make.bat, which will build a version of the Go compiler, etc. targeting Linux. Then you shouldn't get this error anymore.