The bane of programming in C\C++, you need to add the libraries you want linked to your program to get it to compile. You’ll need to first compile or use a pre-compiled SDL2 library and add the following options to: Project Build Options > Linker settings > Link libraries:
mingw32
SDL2
SDL2main
user32
gdi32
winmm
imm32
winspool
shell32
ole32
oleaut32
version
uuid
comdlg32
advapi32