SDL is made up of several sub-systems. SDL.dll is the core and supports the basics of everything. ie loading BMPs or WAVs, but if you want slightly fancier functionality you need to get the other sub-systems. They include
SDL_mixer, SDL_Image, SDL_Net, SDL_ttf, smpeg ( this is usually bundled with SDL_mixer )

Have a look at this link
http://www.libsdl.org/libraries.php?...DL_&perpage=50

and you should find links to the above dlls. The idea is to give the developer a fair amount of flexibility.

I hope this helps.