SDL makes a great companion library to cairo. With SDL, you can create portable multimedia applications very easily. Install the latest SDL development packages for your distribution, or download the latest SDL development kit from http://www.libsdl.org.
For Visual Studio unzip it and add the SDL\include directory, SDL.lib and SDLMain.lib to your project, just like you did with cairo.
Drawing with cairo to an SDL Surface can be tricky. For demonstration purposes, see the SDL/cairo version of the cairo clock source code. A makefile for this code is also available.
Visual Studio tip: If you regularly use cairo / SDL, it might be easier to add the cairo include and lib directories to your default configuration. Use Tools -> Options -> Projects and Solutions -> VC++ directories for that.