In addition to BioBytes post, I usually work in XP compiling with MSC and MinGW.
If code compiles well in MinGW it is almost sure that it will work well in Linux.
Only in very few cases and working at low level it is necessary to do #ifdefs. Fortunately U++ cares of it so it is very strange if you need to include #ifdefs in your code. In that case, ask before...: probably there is a function in U++ you did not know that cares of that OS specific issue .