SETUP SDL for Linux.
install the SDL 1.2.x package of your distro, dont forget to install the SDL-devel package for headers.

SETUP SDL for windows.
download binaries / prebuilt packages for msc and mingw
http://www.libsdl.org/download-1.2.php

http://www.libsdl.org/release/SDL-devel-1.2.14-VC8.zip
http://www.libsdl.org/release/SDL-devel-1.2.14-mingw32.tar.gz

unzip the stuff into 2 separate locations, e.g

C:\SDL-devel-1.2.14-VC8\SDL-1.2.14
C:\SDL-devel-1.2.14-mingw32\SDL-1.2.14

the buildmethods need to access those repspective folders

MSC buildmethod, add to

PATH: C:\SDL-devel-1.2.14-VC8\SDL-1.2.14\lib
INCLUDE: C:\SDL-devel-1.2.14-VC8\SDL-1.2.14\include
LIB: C:\SDL-devel-1.2.14-VC8\SDL-1.2.14\lib

MINGW/TDMGCC buildmethod, add to

PATH: C:\SDL-devel-1.2.14-mingw32\SDL-1.2.14\lib
		C:\SDL-devel-1.2.14-mingw32\SDL-1.2.14\bin
INCLUDE: C:\SDL-devel-1.2.14-mingw32\SDL-1.2.14\include
LIB: C:\SDL-devel-1.2.14-mingw32\SDL-1.2.14\lib
		C:\SDL-devel-1.2.14-mingw32\SDL-1.2.14\bin


the MSC libraries only come in shared linkage flavor, while the mingw flavor can be linked both shared and staticly.
the SDL.dll.a is needed for static lib and has got that weired name. who knows why. the SDL.dll comes in bin folder,
thats why double folder specification is needed fir MINGW build method

the WinMain@16 compile problem for mingw (google for it) makes the change of lib link order
obligatory, thats why mingw32 is specified explicitly last. this makes the WINAPI WinMain() { return main(); }
hack obsolete and enables the native usage of SDL means to handle entry point.
SDL redefines your own main to be SDL_main (see SDL.h), and provides own main. the signature is critical.
it must be
int main(int argc, char* argv[]);