Here are some toolchains: http://dl.openhandhelds.org/cgi-bin/caanoo.cgi?0,0,0,0,17
The offiial one at least i know has SDL. It has libraries for both PC and Caanoo. Let us know if you have difficulty setting it up. I use codeblocks myself. In codeblocks, I add a new compiler (the one in the toolchain), set up where its libraries and include files can be found, and then i can compile my progject like normal if i create a target in my project using that compiler. That's about it.