1) This is not a graphics question. This is General Programming. If you had a question specifically about SDL, that would be the OpenGL forum, and if your question was about graphics theory or non-API-specific rendering, that''s for Graphics.
2) printf() is superior to cout. printf can print formatted data, like "%.2f" which prints a number to two decimal places, like "1066.34", or "0x%X" which prints a hex number like "0x1F". The only reason to use cout is that it involves less typing if you don''t care about formatting.
3) You forgot a semicolon at the end of the line that calls cout. Should be:
cout << "Unable to init SDL: " << SDL_GetError() << endl;
4) You forgot to specify "using namespace std" as someone already pointed out. I always forget that too. What makes it more confusing is gcc uses that namespace by default, but VC++ does not.
~CGameProgrammer( );
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