The Main thing is getting all the support libraries that you will need.
First create a SDLProjects folder on you C drive (more advance user can put the folder any ware)
Next inside that folder create a folders called SDL,Epee Engine,and TinyXML
Then Create three folders inside that called lib,include,dll.
You should now have a folder structure like this.
SDLProjects
SDL
lib
include
dll
Epee Engine
TinyXML
Now we are going to put all the sdl libraries in the lib folder and all the header files in the include folder.
Depending on which version of the Epee Engine you are using will determine what libraries you need go here to find out what libs you need.
Then Download the libraries and place the libraries (.lib for VS and .a for GNU) into the lib folder, all the header(.h) files into the include folder, and all the dynamic link libraries (.DLL) into the dll folder.
Optionally if you plan on distributing your game you should download the run time binaries and put those dlls in the dll folder instead of the ones that come with the .lib files.
Finally put the all the .dll files in to the C:\Windows\system32 folder (Later these will be placed in the same folder as you executable for distributing your game to others).
Put EpeeEngine.cpp and EpeeEngine.h into the Epee Engine.
TinyXML
put the following files in the TinyXML
tinystr.h
tinyxml.h
tinystr.cpp
tinyxml.cpp
tinyxmlerror.cpp
tinyxmlparser.cpp
if there is a tinyxml.lib put it in the lib folder
You are now ready to follow the instructions for adding these libs into your compiler