shogun1234, that's odd... that's not included in any of my examples. The DEPTH_SIZE also shouldn't affect OpenGL initialization from GLEW... Just remove that line and a sane default will be chosen, especially if you don't know what that is or don't use it.
Anyways, I would suggest setting the variable "glewExperimental" to "true". You also need to set the OpenGL version wanted.
Or else you'll get a rather old compatibility version, regardless of platform or headers used. You should set attributes before creating a context or window!
Remember that SDL is a C library. In this case, none of its structures have constructors so using something like "new" on them is really, really bad and asking for a memory leak somewhere. You must use their facilities to initialize and close out a structure!