Large and complicated projects such as Blender often have many dependencies and intricacies which makes building them yourself a pretty daunting task. Usually the source code is accompanied by the build instructions which tell you how to build it. But you often can find them on the web, too.
Just check if your sdl-config is setup to the environment variables.
if not, then set up to the directory where sdl-config exists (setenv command)
if SDL-config doesn't exist, try and install it (I know Ubuntu sudo aptitude install libsdl1.2-dev).
Once installed, then check if the path has been included to environment variable (env command)
If there are any distros missing, download them here (for linux, http://wiki.blender.org/index.php/Dev:Doc/Building_Blender/2.4x/Linux)
Well, you should probably start at http://wiki.blender.org/index.php/Dev:Doc/Building_Blender
Cygwin is messy but possible. On Windows I would strongly recommend building under VisualStudio. Have a look at
http://wiki.blender.org/index.php/Dev:Doc/Hackers_Guide/Building/Cygwin_Make
if you want to build in cygwin.