By default, the game will install in the correct location as it should (it pulls this data from the registry). Have you installed the base game (version 1.0), then updated?
SDL.dll can be manually downloaded from here on the forums
http://www.frictionalgames.com/forum/thr...l#pid70551
If the above doesn't fix it, I recommend uninstalling the game from the Control Panel, then clearing out your folder (either by deleting or cutting and pasting the contents in your installation folder elsewhere). By default on a Windows System, your installation folder is C:/Program Files (x86)/Amnesia - The Dark Descent/ - and the actual Amnesia contents and whatnot will be in the redist folder.