it's means i've to build one according my need ?
yes
install ugraded fpc262_cross_arm_wince_win32.exe ? Is there enough to build it self ?
you don't need arm-wince cross compiler (this one has prepackaged installer fortunately) if your target is arm-linux. for arm-linux, however, you need more than just fpc and its COMPLETE source (Lazarus installer for windows only ships rtl and packages, you'll need to download the full source). You'll need arm-linux cross binutils, which you also have to built from binutils source. The article above should explain it all. Even more, you'll need target system libraries as well (it's the requirement of unix binaries that all shared libraries must be present at link time).
If your target is raspberrypi (with raspbian OS), then it's better to get lazarus for raspbian instead. Lazarus is capable to run directly there, no need for cross compilation (it's not a simple task after all).