The old SDL project templates don't work with Xcode 4. The easiest way to go is to start with a Cocoa application project. For more detailed instructions on how to set up SDL with Xcode 4, read the following article:
Besides following the article, I had too change the include in the SDLMain.m from "SDL.h" to "SDL/SDL.h".
Is it your article? then maybe include a final screen shot of how the project looks like when you see the files and folders from xcode, thinks that would have cleared a bit of my confusion properly just because my English isn't that well.