Clang++ fails to locate any stdlib headers

From a mac os x system I am trying to cross compile a simple C++11 program but clang++ fails to find even simple headers:

test.cc

#include <string>

int main(int argc, char *argv[])
{
    return 0;
}

And here is the error

$ clang++ --std=c++11 --stdlib=libc++ test.cc -target i386-win32 -o test
clang: warning: argument unused during compilation: '--stdlib=libc++'
test.cc:1:10: fatal error: 'string' file not found
#include <string>
         ^
1 error generated.

It compiles just fine without the -target argument.

I also tried without the --stdlib=libc++ argument and that didn't help.

EDIT Turns out you can't really cross compile to windows just by adding a flag:

$ clang++ -std=c++11 -v test.cc -target i386-win32 -o test
Apple LLVM version 7.0.0 (clang-700.0.72)
Target: i386--windows-msvc
Thread model: posix
 "/Applications/Xcode.app/Contents/Developer/Toolchains/XcodeDefault.xctoolchain/usr/bin/clang" -cc1 -triple i386--windows-msvc -emit-obj -mrelax-all -disable-free -disable-llvm-verifier -main-file-name test.cc -mrelocation-model static -mthread-model posix -mdisable-fp-elim -fmath-errno -masm-verbose -mconstructor-aliases -target-cpu pentium4 -target-linker-version 253.2 -v -dwarf-column-info -resource-dir /Applications/Xcode.app/Contents/Developer/Toolchains/XcodeDefault.xctoolchain/usr/bin/../lib/clang/7.0.0 -internal-isystem /Applications/Xcode.app/Contents/Developer/Toolchains/XcodeDefault.xctoolchain/usr/bin/../lib/clang/7.0.0/include -internal-isystem C:/Program Files/Microsoft Visual Studio 10.0/VC/include -internal-isystem C:/Program Files/Microsoft Visual Studio 9.0/VC/include -internal-isystem C:/Program Files/Microsoft Visual Studio 9.0/VC/PlatformSDK/Include -internal-isystem C:/Program Files/Microsoft Visual Studio 8/VC/include -internal-isystem C:/Program Files/Microsoft Visual Studio 8/VC/PlatformSDK/Include -std=c++11 -fdeprecated-macro -fdebug-compilation-dir /Users/drninjabatman/Scratch -ferror-limit 19 -fmessage-length 181 -mstackrealign -fms-extensions -fms-compatibility -fms-compatibility-version=17.00 -fdelayed-template-parsing -fobjc-runtime=gcc -fcxx-exceptions -fexceptions -fdiagnostics-show-option -fcolor-diagnostics -o /var/folders/j_/56ztdh452d95t2wtk6zx0j6w0000gn/T/test-42e69a.o -x c++ test.cc
clang -cc1 version 7.0.0 based upon LLVM 3.7.0svn default target x86_64-apple-darwin14.5.0
ignoring nonexistent directory "C:/Program Files/Microsoft Visual Studio 10.0/VC/include"
ignoring nonexistent directory "C:/Program Files/Microsoft Visual Studio 9.0/VC/include"
ignoring nonexistent directory "C:/Program Files/Microsoft Visual Studio 9.0/VC/PlatformSDK/Include"
ignoring nonexistent directory "C:/Program Files/Microsoft Visual Studio 8/VC/include"
ignoring nonexistent directory "C:/Program Files/Microsoft Visual Studio 8/VC/PlatformSDK/Include"
#include "..." search starts here:
#include <...> search starts here:
 /Applications/Xcode.app/Contents/Developer/Toolchains/XcodeDefault.xctoolchain/usr/bin/../lib/clang/7.0.0/include
End of search list.
test.cc:1:10: fatal error: 'string' file not found
#include <string>
         ^
1 error generated.

clang is an excellent cross compiler but as you rightly point out, a cross compiler is of little use unless you have the rest of the stuff needed. At minimum you'll need

header files for the target libraries
libraries that have been compiled for the target
a linker capable of linking your object files and the libraries into an executable

There are several places that you can find all of these things. If you'd like a set of tools pre-packaged, you could take a look at ELLCC. ELLCC is a cross compilation tool chain based on clang. It includes

ecc - the clang based compiler for ARM, Mips, PowerPC, and x86
Header files and pre-compiled C and C++ standard libraries for Linux and Windows
A set of binutils (assemblers, linker, etc.) configured to handle all the targets

This allows you to do exactly what you want:

% ecc -target x86_64-w64-mingw32 test.cc -o test.exe
% file test.exe
test.exe: MS-DOS executable PE  for MS Windows (console), Mono/.Net assembly
% ecc -target aarch64-linux-eng test.cc -o test
% file test
test: ELF 64-bit LSB executable, version 1 (SYSV), statically linked, not stripped
%

Follow the download link to get pre-compiled tools that run on Linux, Windows, or Mac OS X.