If you don't have visual studio, you may wish to check out Dev-C++. It's a gcc/mingw based free IDE (development environment) for Windows.
If you're using a different version of visual studio, the vc6 or the vs.net tutorials may still be helpful in setting it up.
If you're on a non-windows platform, the other platform tutorials may contain some pointers on how to get SDL applications to compile.
If you've already been here or just want to read on, you may wish to skip the development environment setup and go directly to 02 - SDL Skeleton and Putting Pixels..
Having problems? Try the forums!
Any comments etc. can be emailed to me.