Thanks. Having changed the command:
phil@rama:~/SDL-1.2.5$ ./configure --host=i586-mingw32msvc --target=i586-
mingw32msvc --build=`./config.guess`
loading cache ./config.cache
checking host system type... i586-pc-mingw32msvc
checking target system type... i586-pc-mingw32msvc
checking for a BSD compatible install... (cached) /usr/bin/install -c
checking whether build environment is sane... yes
checking whether make sets ${MAKE}... (cached) yes
checking for working aclocal... found
checking for working autoconf... found
checking for working automake... found
checking for working autoheader... found
checking for working makeinfo... found
checking build system type... i586-pc-linux-gnu
checking for ranlib... (cached) ranlib
checking for gcc... (cached) gcc
checking whether the C compiler (gcc ) works... yes
checking whether the C compiler (gcc ) is a cross-compiler... no
checking whether we are using GNU C... (cached) yes
checking whether gcc accepts -g... (cached) yes
checking for ld used by GCC... (cached) /usr/bin/ld
checking if the linker (/usr/bin/ld) is GNU ld... (cached) yes
checking for BSD-compatible nm... (cached) /usr/bin/nm -B
checking whether ln -s works... (cached) yes
checking for i586-mingw32msvc-dlltool... i586-mingw32msvc-dlltool
checking for i586-mingw32msvc-as... (cached) as
checking for i586-mingw32msvc-objdump... (cached) objdump