The compiler is going to look for the headers you include by appending them to every path on the search path until it comes up with it. So that means that when you #include "SDL2/SDL.h", then the compiler is going to be looking for "C:\SDL\SDL2-2.0.1\i686-w64-mingw32\include\SDL2\SDL2\SDL.h". Obviously, that doesn't exist.
I have put theese lines under Search directories:
So remove the trailing \SDL2 from all of your include paths and it should work. Alternatively, you can just #include "SDL.h", but I don't recommend it.