Assuming you're using something like:
SDL.NET
The end-user does need to have the SDL libraries/binaries installed on their machine, however, they don't need to manually install SDL themselves. You can distribute the SDL binaries yourself as part of your own games installer.
The license for SDL itself (not SDL.NET) even allows you to "statically" link the SDL source-code right into your own source code. From the SDL Licensing FAQ:
Q: What license does SDL use?
A: SDL is freely available under the GNU LGPL
license, and may be used in both free
and commercial applications.
Q: Can I use SDL in a commercial
application?
A: Yes! If you link
dynamically (via .dll's, .so's or
using other dynamic linking devices)
then you do not need to do anything.
If you link statically (include the
SDL source inside your project when
you compile) you have to provide some
way for your customer to relink your
application with a custom version of
SDL. The details are available at:
http://www.libsdl.org/license.php
The absolute newbies guide to SDL.NET will give you a list of the required libraries, both from SDL.NET (the .NET "wrapper") and SDL itself.