You need two different executables.
I assume that you know that you will need two different executables. One for Windows and one for the Mac.
I'm 99.5% sure that MSVC++ can't create a Mac executable. So, you'll need to use a different compiler for this. Normally, you would compile the Mac code on the Mac. There are cross-compilers that compile code on one platform to run on another platform. These are usuaslly used for embedded systems, or other special applications. I don't even know of any Windows compilers that cross-compile to a Mac exe. You'll have less trouble if you don't use a cross-compiler.
I am using MS VC++ 6.0
Your source will include common C++ standard code, Windows specific code, and Mac specific code. If you use a multi-platform GUI library, you will have some common GUI code also.
I've never done anything like this before, but I would try to keep the incompatable code in seperate modules/files.