I also get this sometimes:
LINK : [external drive]\SDL_Tutorial\Debug\SDL_Tutorial.exe not found or not built by the last incremental link; performing full link
[external drive] being, of course, my external drive. :|

That's unrelated. I'd try the previous suggestions (e.g. check to see what the current working directory is) and see if that gets you anywhere.

[quote name='fastcall22' timestamp='1304441195' post='4806013']
By default, when you run your program from within the IDE, the working directory is set to "$(ProjectDir)", which is the directory containing the project file and source files. However, if you were to run your program from outside the IDE, then the working directory is the directory of the executable. You can change the working directory of a program by going to the project properties (alt+f7), and changing the "Working Directory" field under "Debugging->General".

Ah, ok, so it should work if I placed the 'hello.bmp' in the folder containing the .exe?

Edit: it worked.
[/quote]
Are you running the application from the IDE, or from the desktop?

The typical setup for development (I think) would be to run the application from the IDE, leave the working directory set to the project directory, and store your game data in the project directory. (One advantage of this approach is that you won't have to duplicate the data for each build configuration.)