SDL has support for OpenGL ES 2.x under Windows via two alternative implementations. The most straightforward method consists in running your app in a system with a graphic card paired with a relatively recent (as of November of 2013) driver which supports the WGL_EXT_create_context_es2_profile extension. Vendors known to ship said extension on Windows currently include nVidia and Intel.
The other method involves using the ANGLE library (https://code.google.com/p/angleproject/) If an OpenGL ES 2.x context is requested and no WGL_EXT_create_context_es2_profile extension is found, SDL will try to load the libEGL.dll library provided by ANGLE. To obtain the ANGLE binaries, you can either compile from source from https://chromium.googlesource.com/angle/angle or copy the relevant binaries from a recent Chrome/Chromium install for Windows. The files you need are:
* libEGL.dll * libGLESv2.dll * d3dcompiler_46.dll (supports Windows Vista or later, better shader compiler) or... * d3dcompiler_43.dll (supports Windows XP or later)
If you compile ANGLE from source, you can configure it so it does not need the d3dcompiler_* DLL at all (for details on this, see their documentation). However, by default SDL will try to preload the d3dcompiler_46.dll to comply with ANGLE's requirements. If you wish SDL to preload d3dcompiler_43.dll (to support Windows XP) or to skip this step at all, you can use the SDL_HINT_VIDEO_WIN_D3DCOMPILER hint (see SDL_hints.h for more details).
* SDL_GL_SetSwapInterval is currently a no op when using ANGLE. It appears that there's a bug in the library which prevents the window contents from refreshing if this is set to anything other than the default value.