Mingw-w64 and CMake: unrecognised option -rdynamic on Ubuntu

I had an issue where CMake was failing on a compiler test with the following error:

error: unrecognized option '-rdynamic'

The problem was that CMake caches settings such as compiler flags in CMakeCache.txt, so you need to clear the cache when changing the platform. Do this by deleting CMakeFiles and CMakeCache.txt