I wasn't able to get it to install on my system. Here's what I tried. Strangely, I was able to get configure find the header files but not the actual binary.
Let's try it. I have installed the new 2014 Haskell Platform.
cabal install sdl
Configuring SDL-0.6.5...
setup.exe: The package has a './configure' script. This requires a Unix
compatibility toolchain such as MinGW+MSYS or Cygwin.
Failed to install SDL-0.6.5
GHC in the Haskell Platform comes with MinGW, so we probably need to install MSYS. The MSYS page says to install minggw get, which says to install
An automated GUI installer assistant called mingw-get-setup.exe is the preferred method for first time installation. This will guide you through the setup of the mingw-get installer proper; you will then use this to perform further package installations, and to manage your installation.
Running the installer with the default options gives us the following screen:

We already have mingw from installing the Haskell platform, so we'll click on only the last item in the list, msys-base, and select "Mark for Installation". Then, in the "Installation" menu in the top left, select "Apply Changes". This asks if it is ok to proceed, and we select "Apply"
This installer didn't put msys-base in the path, we can add it to the path, and try installing sdl again
set PATH=C:\MinGW\msys\1.0\bin\;%PATH%
cabal install sdl
Configuring SDL-0.6.5...
configure: WARNING: unrecognized options: --with-compiler, --with-gcc
checking for sdl-config... no
checking for sdl11-config... no
configure: error: *** SDL not found! Get SDL from www.libsdl.org.
If you already installed it, check it's in the path. If problem remains,
please send a mail to the address that appears in ./configure --version
indicating your platform, the version of configure script and the problem.
Failed to install SDL-0.6.5
We need to download and install libsdl. I went to the libsdl download page and downloaded the Win32 development libraries, SDL-devel-1.2.15-mingw32.tar.gz
. I extracted this archive (7-zip can extract both tar archives and gzip compressed files). For convenience, I moved the SDL-1.2.15
directory to c:
. We'll add this to the path, as suggested by the previous error, and try again
set PATH=C:\SDL-1.2.15\bin\;%PATH%
cabal install sdl
* Missing (or bad) header file: SDL/SDL.h
* Missing C library: SDL
This problem can usually be solved by installing the system package that
provides this library (you may need the "-dev" version). If the library is
already installed but in a non-standard location then you can use the flags
--extra-include-dirs= and --extra-lib-dirs= to specify where it is.
If the header file does exist, it may contain errors that are caught by the C
compiler at the preprocessing stage. In this case you can re-run configure
with the verbosity flag -v3 to see the error messages.
We can make part of this error go away by adding the suggested --extra-include-dirs
flag, but still get the following error
cabal install sdl --extra-include-dirs=c:\SDL-1.2.15\include
* Missing C library: SDL
This problem can usually be solved by installing the system package that
provides this library (you may need the "-dev" version). If the library is
already installed but in a non-standard location then you can use the flags
--extra-include-dirs= and --extra-lib-dirs= to specify where it is.
Adding the --extra-lib-dirs
flag with c:\SDL-1.2.15\bin
or C:\SDL-1.2.15\lib
or c:\SDL-1.2.15
failed to fix this problem.