I needed to compile an exploit in ParrotOS. Did not have a Windows machine at the moment. In this case it was MS03-26 for 32 bit.
Before we begin we need to install some applications in ParrotOS
sudo apt install mingw-w64
searchsploit ms03-026 searchsploit -m exploits/windows/remote/100.c x86_64-w64-mingw32-gcc 100.c -o shell.exe -lws2_32