The set up is quite similar with Open CV setup (actually many SDK setup is similar).
extract the package to some folder, such as D:\SDLDEV\*
add path to Visual C++ Tools->Options->Projects and Solutions
Library Files
add D:\SDLDEV\SDL_image-1.2.7\lib and D:\SDLDEV\SDL-1.2.13\lib
Include Files
add D:\SDLDEV\SDL_image-1.2.7\include and D:\SDLDEV\SDL-1.2.13\include
When create a new project, add SDL.lib SDLmain.lib to project->Configuration Properties->Linker->Input => additional dependencies.
Copy sdl.dll to exe folder.
If it does not work, check if you have used other lib in your program, add them. This short instruction only use two lib, SDL lib and SDL_image lib, for demo.