Getting hold of the missing file is easy enough. Download it from here:
http://www.dll-files.com/dllindex/dll-files.sh tml?sdl
Save the downloaded file to anywhere convenient. (The desktop is a good as anywhere). It's a zipped file, so you'll need to extract it. Assuming you're using XP or Vista, Windows has got unzipping software built into it. Just double click the file icon to start the extraction process. In the first instance you might want to simply extract the file to your desktop. Now comes the (possibly) tricky bit; that's trying to put it where it actually belongs!
Run a search for *.dll
That will show the location of all DLL files on your PC. I'm using Windows ME, so what I see might not be the same as what you see. However, most of my DLL files are in C:\Windows\System. Some of them are in just in C:\Windows. If I have to download a missing DLL, I place a copy of it in every possible location where it might be required. (It never hurts to put a DLL in a folder where it won't be needed). Also look for possible locations which are specifically related to the software you're using. (e.g. something like C:\Program Files\Lost Case). Put yet another copy of sdl.dll into every likely folder.
Then cross your fingers and try loading the program again.
Chris