Transferring and build settings issue

I've been working on a project for months and wasn't long ago that I found out about why I couldn't build my game for Windows and Linux. It's because I didn't select it in the download manager, because I don't even know I needed to do that. I'm using a Mac and I really want to build my game for Windows but I don't know how. Please help! I'm really scared if I loose my game.