How to use #ifdef WIN32

I want to switch code on the OS but this always goes through to the #else (on
windows or elsewhere):

{-# OPTIONS -cpp #-}
#ifdef WIN32
main = putStrLn "hello windows"
#else
main = putStrLn "hello something else"
#endif

Does this depend on a Makefile setting WIN32, or should there be something
predefined?

Thanks,
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