All the libraries and toolchain components, including SDL2 will be found in C:/msys64/mingw64
Go to VS Code and look for 2 files, c_cpp_properties.json and tasks.json. If they are not there, use Ctrl + Shift + P and select “C/C++: Edit Configurations (JSON)” and “Tasks: Configure Default Build Task”
My code in c_cpp_properties.json looks like this
My code in tasks.json looks like this
This should all sort any issues related to being unable to detect the SDL2 headers and libraries