Simple Directmedia Layer

For my next project I'm wanting to use SDL (www.libsdl.org), because it has a lot of cross-platform abilities. I've looked at the tutorials on their site and they don't really address my question: What do I need to do to get my program to run on all these OSs? I assume I can use the same source code for each version, but do I need to link the BSD version with a different library than the Win32 one? Will I need to compile each version on a different compiler? Or do I just download the version of the library that's right for the compiler I'm using?

edit: I'll be doing this in C/C++. I'm always not sure if I can do this project in VS.NET (they use VS.NET in the first tutorial) and still have all the OSs they advertise without using something like Mono.