Yes, you need to set the pixel format before creating a context.

--HG--
extra : convert_revision : svn%3Ac70aab31-4412-0410-b14c-859654838e24/trunk%402499

src/video/win32/SDL_win32opengl.c

@@ -340,6 +340,7 @@ WIN_GL_ChoosePixelFormatARB(_THIS, int *iAttribs, float *fAttribs)
 {
     HWND hwnd;
     HDC hdc;
+    PIXELFORMATDESCRIPTOR pfd;
     HGLRC hglrc;
     int pixel_format = 0;
     unsigned int matching;
@@ -351,6 +352,10 @@ WIN_GL_ChoosePixelFormatARB(_THIS, int *iAttribs, float *fAttribs)
 
     hdc = GetDC(hwnd);
 
+    WIN_GL_SetupPixelFormat(_this, &pfd);
+
+    SetPixelFormat(hdc, ChoosePixelFormat(hdc, &pfd), &pfd);
+
     hglrc = _this->gl_data->wglCreateContext(hdc);
     if (hglrc) {
         _this->gl_data->wglMakeCurrent(hdc, hglrc);