The gtk client with sdl support has a bit of performances improvements (not a lots as sdl is still a pure software library, no hardware accelleration) but thie main interest of dsl rendering is the perpixel lightnings (if you cpu can support it) which is fa better than those balck hashes in gtk rendering. Personally, i couldn't get back to gtk rendering!
For your SDL_image.h i'll say you need to install the sdl-image library and it's develepment headers. (in debian apt-get install libsdl-image-dev)
PS: You need to activate perpixel lightning in the options to see the result. (plus you need of course to have compiled against dsl).