Click create new project. Then click SDL project. Wala
*edit just checked there is option for SFML also.
*also I think you have to tell it the folder you have sdl/sfml. You shouldnt have to link it if you do it this route. Though linking is fairly easy. TO link SDL go to
settings->compiler->linkersettings and put -lmingw32 -lSDLmain -lSDL -lSDL_image
then click on the search directories tab->compiler tab and include the "include" folder. now go to the linker tab and put the "lib" folder. Lastly add the .dll to the debug folder (where your .exe is)