Visual Studio cannot include header file.

Putting the header there only helps organize your files, it doesn't copy the file to the include directories nor makes it automatically visible.

You'll need to add the path to where SDL.h is located to your project additional include directories.

Just right-click on the project -> Configuration Properties -> C/C++ -> General -> Additional Include Directories.

In fact, you shouldn't have to add SDL.h to the solution, having the path in the Additional Include Directories is enough.