Installing SDL - Trouble

Hi people

I have a big problem: I want to learn SDL (thats not the problem ;) ), and therefore I installed SDL in Visual Studio 11, but it didn't work. Then I tried it with Visual Studio 2008, it didn't work too. As a last chance I tried to do it in Code::Blocks, and it still didn't work. Now my question is: does anyone know a way to install SDL in one (or more) of those IDE's, or a good tutorial to do so?
Thanks in advance!
The dev library comes with an html files that explains how to do this. You want the bit marked Creating a Project with SDL in the file VisualC.htm

The dev library is here:
http://www.libsdl.org/release/SDL-devel-1.2.15-VC.zip
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