Select "Tools | Options", then "Directories"
Show directories for: Include files
Add "SDL<version>\Include"
Show directories for: Library files
Add "SDL<version>\Lib"
Show directories for: Source files
Add "SDL<version>\Src"
Click OK
Select "Project | Settings"
Category: General
Add the following to Object/library modules: "SDL.lib SDLmain.lib opengl32.lib glu32.lib"
Click OK
You should now be able to include the following headers:
#include <SDL.h>
#include <SDL_opengl.h>