Need help installing SDL

First, get rid of Dev C++. When you're finished with that, install something like Code::Blocks instead, then we can talk. Seriously, DevC++ is so far in the graveyard, the only thing that can result from contact with it is some sort of hideous, rotting disease. You don't want to spread disease to your family, do you?

Im fine with dev

Im fine with dev

No, you're not. You might not know it yet, but you're not.

Anyways, the following is an updated excerpt from one of my previous posts.
How to setup a third party library for Bloodshed Dev-C++ 4.9.9.2:

1) Preheat oven to 350 degrees F.
2) Go to the start menu.
3) Click on "Control Panel."
4) Open "Add/remove Programs" (winxp) or "Programs and Features" (vista/win7)
5) Search for "Bloodshed Dev-C++" then click "Uninstall"
7) Download and install Microsoft Visual C++ 2010 Express Edition (its free!) or Codeblocks (also free!).
8) Install for ten minutes or until golden brown.

How to setup a third party library for Microsoft Visual C++ 2010 Express Edition:

1) Create an empty C++ project or open an existing C++ project.
2) Go to "View->Property Manager"
3) On the "Property Manager" pane, expand your empty project name and expand any of the project configurations.
4) Select, right click "Microsoft.Cpp.Win32.user", and click "properties" on the context menu
5) Select "Include Directories" on the right pane.
6) Add a new directory and navigate to the "include" directory of your installation of the third party library.
7) Select "Library Directories" on the right pane.
8) Add a new directory and navigate to the "lib" directory of your installation of the third party library.
9) Click OK.

Now to setup your project to use the library:
1) Right click on your project on the "Property Manager" pane, and select "Properties..."
2) On the configuration page that appears, click "linker" then "input", and append to your "Additional libraries" field on the right pane.
3) Click Apply.
4) Rinse, lather, and repeat for the "Release" configuration and any other configurations.

Overall, you shouldn't use Dev-C++. There are much better freeware alternatives. Anyways, to answer your question, an IDE will generally have a setting something to the effect of "additional include directories" or "library directories", in which when one #include , the IDE will find the appropriate file through the "additional include directory" entries. IDEs will also provide some form of libraries you can enter that will be linked to your project, in which case, one can enter "SDL.lib", and the IDE will find "SDL.lib" in one of the "library directories" entries.