The SDL_SetVideoMode() function is used to give you something you can draw on. (This can be a window, or a fullscreen display.)

SDL_Surface * scr;
...
scr = SDL_SetVideoMode(640, 480, 16, SDL_SWSURFACE);

if (scr == NULL)
  {
    fprintf(stderr, "Can't set 640x480: %s\n",
            SDL_GetError());
    exit(1);
  }
...

The "thing" it returns is a pointer to an "SDL_Surface" structure.
(If it returns NULL, an error occurred...)