[SDL] Strange problem with Win32 Sleep function and SDL

[voidstar]

Hello, in my program I have this line:

Sleep(3000);

First, I noticed that during the sleep-time I can still
move the mouse and I see my cursor moving on the screen
(but the rest of the program is "stopped"). Why?

Apart from that, my problem is that if during the sleep-time
I click a mouse button, at the end of the sleep-time my
program enters in this case of the switch:

while (SDL_PollEvent(&event)) {
	switch (event.type)
	....
	....
	case SDL_QUIT:
		return(0);
	...


And the program stops the execution.

Is this normal? Why the event is now "SDL_QUIT"?
Is there a way to solve this problem?

Sorry but I'm new with SDL ;-)

Thanks