You have to add path to JEDI_SDL manually in your IDE. If you use FPC from command line use -Fu switch.

JEDI_SDL is a big package and its source is distributed in lots of subdirectories. My advice is to copy files you need to separate directory and add this directory to your IDE paths.

For a simple SDL+OpenGL app you will only need following files:
sdl.pas, jedi_sdl.inc, moduleloader.pas - sdl headers
gl.pas, glu.pas, glext.pas (glx.pas) - opengl headers