Place mame2003_libretro_wii.a (the cores are static libs, '.a' files) in the dist-scripts folder and run the './dist-cores.sh wii' command or the make commands manually.
If you managed to compile under windows you don't need Linux. It may be easier though.
I intalled the last version of devkitpro for windows, and when I try to run makefile for mame2003 source I have theses error:
/bin/sh: git: command not found
creating bin2c working folder and compiling bin2c executable tool...
"make": gcc: Command not found
"make": ./precompile/bin2c: Command not found
rm: cannot lstat `./precompile/bin2c*': No such file or directory
"make": *** No rule to make target `run'. Stop.