Link the libraries
You need to link with the output of sdl-config --libs:
-lmingw32 -lSDLmain -lSDL -mwindows
The order of the options is very important.
Pulled from http://sdl.euskal-linux.org/faq/FAQ-Win32.html#WIN32_9
Use the correct main method
You will get this error if your main method is just
int main ()
{
...It has to have the standard arguments
int main (int argc, char *argv[])
{
...
Include SDL.h
You also need to include SDL.h in the file that contains int main(int argc, char *argv[]) (even if you don't use SDL there)