Hi Léon,
You do not need to rename the x2goclient.pro.windows to x2goclient.pro. The original x2goclient.pro can handle the compiling under windows.
One tricky thing is that, under windows, only the QT SDK of version 2009.04 can be used.
As the issue of missing dlls, you need to rebuild the QT by static configuration, which will take ages. Another options is to just copy QtCore4.dll, QtGui4.dll, QtNetwork.dll and QtSvg4.dll to x2goclient directory.
Or you can cross compile the window client under linux, just look at the post: http://www.ce3c.be/152-cross-compiling-qt-c-for-windows-on-linux/.
Hope it helps
Max