I am including a copy of SDL2.dll (https://www.libsdl.org/download-2.0.php) in my open source project. Do I need to also include the source code of SDL in my repository, add a document with the URL to SDL's source code, or do I not need to do any of that?
SDL uses the zlib license, which is a permissive license similar to the MIT or BSD family. This license does not require you to provide the source code. Please read it, as it is very short.
However, if your project uses the GPL, and if you supply binaries for your project, then you should also provide the corresponding source code for those binaries, including the libraries. One way to do this is to import the library's source code into your project and to build the library from source. A link to the SDL source code might also work, but that is risky as the link may go down or change.