How do I use SDL with gcc on Windows?
You can build and use SDL with gcc natively using either Cygwin or MinGW, or you can build a gcc cross-compiler targeting Windows from another platform. There is a mingw for Linux that you can use for cross compiling to Windows.
Setting up these environments is documented at:
To be able to compile from the test directory in the source tree, copy SDL.DLL from either /usr/local/bin or /usr/local/lib to the test directory.
Once the build environment is set up, you can build your applications as though you were on UNIX.