Using SDL 1.2.10 and mingw, successive calls to SetVideoMode() when a Windows menu is loaded cause the window to be displaced vertically by the number of pixels that comprise the menu height. This makes the window scroll downwards each time, until it is off-screen.

Here's a test case. Press SPACE to call SetVideoMode() with the same window dimensions. If you comment out SetMenu(), no menu is loaded and the window remains at the same position on the desktop.

#include <stdio.h>
#include <windows.h>
#include <SDL.h>
#include <SDL_syswm.h>
SDL_Surface *screen;

void resize_display(void) {
    screen = SDL_SetVideoMode(320, 240, 16, SDL_SWSURFACE | SDL_ANYFORMAT);
    if(SDL_MUSTLOCK(screen)) SDL_LockSurface(screen);
    SDL_FillRect(screen, NULL, SDL_MapRGB(screen->format, rand(), rand(), rand()));
    if(SDL_MUSTLOCK(screen)) SDL_UnlockSurface(screen);
    SDL_UpdateRect(screen, 0, 0, 0, 0);
}

int main (int argc, char *argv[]) {
    SDL_SysWMinfo wminfo;
    HMENU mnuMain, mnuSub;
    char *keystate;
    int running = 1;
    SDL_Event event;

    SDL_Init(SDL_INIT_VIDEO);
    SDL_VERSION(&wminfo.version);
    SDL_GetWMInfo(&wminfo);

    mnuMain = CreateMenu();
    mnuSub = CreateMenu();
    AppendMenu(mnuSub, MF_STRING, 40001, "&Hello World");
    AppendMenu(mnuMain, MF_POPUP, (UINT_PTR)mnuSub, "File");
    SetMenu(wminfo.window, mnuMain);    
    resize_display();

    while(running) {
        keystate = SDL_GetKeyState(NULL);

        if(keystate[SDLK_SPACE]) {
            resize_display();
        }

        if(keystate[SDLK_ESCAPE])
            running = 0;

        while(SDL_PollEvent(&event)) {
            if(event.type == SDL_QUIT)
                running = 0;
        }
    }

    return 0;
}