If the wizard isn't working out for you, you should be able to set it up manually. You'll need to do three things:
- Add the include directory to the project's custom include directories. It's best if you add the directory which contains SDL.h directly, so you can #include "SDL.h" instead of SDL/SDL.h.
- Add the SDL library directory to the linker path, the directory which contains SDL.lib.
- Link with SDL.lib and SDLmain.lib.
Actually, there's a fourth thing you need to do: SDL.dll needs to be accessible before your compiled program will run. You can put it in the current working directory, or in c:\windows\system32.
Also try this tutorial: Lazy Foo' Productions