How/where did you "install" SDL?
Note that SDL itself recommends:
Do I #include <SDL.h> or <SDL/SDL.h>?The most portable way to include SDL headers is to use quotes around the header name:#include "SDL.h"
You may have to configure your compiler to know to search the directory where the SDL headers are installed. On Linux, this is easy, just use `sdl-config --cflags` as part of your command line. Mingw may have a similar utility program, worth looking into.