Is it possible to set up a child window like you can in raw win32?

With out some incredible hack, no. All SDL is supposed to do is give you one window to render to. It is a game API, not a window framework. How many games have you played that use child windows?

I don't think this is possible, no.

You could always hack your way around it by manually creating windows with the windows API, but that's probably not what you're looking for.