SDL is now built with the 32/64 bit mingw cross-compiler from:
http://mingw-w64.sourceforge.net/

You should add the DirectX 9.0c headers from the August 2007 DirectX SDK:
http://www.microsoft.com/downloads/details.aspx?FamilyID=529f03be-1339-48c4-bd5a-8506e5acf571&displaylang=en

Once you have the cross-compilation tools available, you can get
the scripts cross-configure.sh and cross-make.sh and use them as
you would normally use configure and make.

These scripts are available from:
	http://www.libsdl.org/extras/win32/cross/cross-configure.sh
	http://www.libsdl.org/extras/win32/cross/cross-make.sh

Enjoy!