Ok... I just went and took a look at the SDL source... When you try to compile that, unless it's completely isolated from Pelles C, it's going to overwrite several key Pelles C files... malloc.lib, stdlib.lib at least and it's going to end up replacing includes if you just drop it into the Pelles C folders...
Best bet at this point... uninstall Pelles C, delete the folders and reinstall it to repair whatever damage may have been done... Download the precompiled DLL version of SDL and use that.