Cross-compiling c++ SFML from ubuntu to windows

I am using ming, and it works for cross-compiling. When using SFML for ubuntu it works with no problem too. When I combine it:

i586-mingw32msvc-g++ -std=c++11 main.cpp -o main.exe  -lsfml-system -lsfml-window -lsfml-audio -lsfml-graphics

error I got is:

main.cpp:1:28: fatal error: SFML/Graphics.hpp: No such file or directory
#include <SFML/Graphics.hpp>
                        ^

Its like I dont have SFML at all, probably beacuse I need to install one for ming.. How can I install it?