I just went though the same thing. I was developing my game on Mac, and then after 1 year of getting the game in a good alpha state, I decieded to take that fearful leap and attempt to get it compiled on WIndows. (probably not the best idea to wait a year).
That's when I found out that I had to use glew because windows only had OpenGL 1.1 as mentioned aboved. Download the glew library, link to it, and I believe there is one init you have to do
I was using GLFW to create my window, and not SDL, but I'm sure this advice works for you too. I read that you have to call "glewinit()" after you create your window. So I had to make sure I called glewinit() after my glfwinit() function that set up the window.
Hopefully that helps you out. After getting GLEW in the project and calling the init, my linker errors were resolved. Hopefully this helps you some.