I tried to install sdl egg (same thing with sdl-base) and it's setup script calls sdl-config just as "sdl-config --some-arg". sdl-config is bash script, so means on windows we can't just call it. Is better to check for bash presence and use command like "bash sdl-config --some-args".
P.S. still after manual editing of setup script, egg "sdl" was successfully installed and works great. Also i tested egg "bb" with fltk-1.3.2 - all works great too.