${SDL_INCLUDE_DIR}
is not an environment variable. It is simply a CMake variable that probably gets set in FindSDL.cmake script. You can see that because environment variables have $ENV{variable_name} sintax.
You should install a development version of SDL library. If you look into FindSDL.cmake script you will see where the script searches for header and lib files. As far as I can tell you have to set SDLDIR environment variable to point to the root folder of SDL library.