I would love to learn graphics programming but I do not want it to be DirectX
Why is this? I don't ask to open up a flame war, but out of interest in your reasoning. If your goal is as broad as learning rendering, shaders and meshes, it would be unwise to eliminate a well-documented technology with plenty of available tutorials and samples without serious consideration.
There are settings in Visual Studio to tell it where to find additional include and library files. You need to add the SDL include directory to the set of include directories and the SDL lib directory to the set of library directories.
Where you find those options depends on what version of Visual Studio you are using.