I only use CLion on my Linux host machine but I think it is similar there on Windows. Unlike Xcode or Visual Studio, CLion is only an IDE which depends on compiler toolchain(s) to be installed on the host. It does come with its own CMake, debugger, code inspector, and other tools though. So, I believe the only prerequisite to setup is to install a version of MinGW compiler toolchain alongside. And for that you can follow any setup instruction for MinGW that you can find. However, if you are using CLion 2018 on Windows 10 with WSL then you are in luck. Although I have never tried it myself but this latest version supports the compiler toolchain installed in the WSL. If you have native GCC on WSL then it builds for Linux target. If you have cross-compiler toolchain then it can target other platforms as well, like Windows with MinGW. It is only one apt-get away to install.
According to their blog the latest CLion also supports MSVC compiler now, but why go there since we have so many choices with GCC and Clang (native/cross) compilers already.
As for the project setup, it is the same. The new project scaffolding is IDE-agnostic, with the exception for Android at the moment. Read the existing Urho online doc.