I see you're using SDL_ttf -- you'll need SDL_ttf.dll as well.
 And SDL_image.dll too. [/edit]
[edit=2] And if you're loading JPG images, you'll need other DLLs as well. Here's what I distribute with most of my projects.
If you're loading PNGs, you'll need libpng12.dll and zlib1.dll. I think you only need jpeg.dll for JPEGs. If you want to be safe, distribute all three. They're not really that large.
If you don't have any of these DLLs, you can download them along with one of my programs, xuni. http://downloads.sourceforge.net/xun...4&big_mirror=0
The DLLs I mentioned, plus libexpat.dll (for expat, an XML parsing library), are all there.
Or you could do some work and download the DLLs from libsdl.org yourself. I think mine are reasonably up-to-date, though. [/edit]
[edit=3] BTW, your program compiles and runs just fine on my Linux system like so:
What do you know -- it's cross-platform already! [/edit]
$ g++ -I /usr/include/SDL SDLfunctions.cpp KeyEvent.cpp -o KeyEvent -lSDL -lSDL_image -lSDL_ttf
KeyEvent.cpp:30: warning: missing initializer for member ‘SDL_Color::unused’
KeyEvent.cpp:100: warning: unused parameter ‘argc’
KeyEvent.cpp:100: warning: unused parameter ‘args’