1) Did you install DirectX 9.0c? (Also, did you have the option to install Managed DirectX during the install?)
2) Do you have a folder in your Windows directory called "Microsoft.NET\DirectX for Managed Code" or "Microsoft.NET\Managed DirectX"?
3) Do you have an item in your Windows\assembly folder called "Microsoft.DirectX.DirectSound"? (And if so, what version(s)?)
4) When you say "the same folder" do you mean that "Microsoft.DirectX.DirectSound.dll" is in the same folder as SGDK2IDE.exe? With Microsoft.NET, MS actually did something right because it should be able to find it there... they do look in the same directory now, and you don't have to "register" things any more with .NET (although you still can if you want to by putting things in Windows\assembly). It may also need to be in the folder where the project is generated (if you don't have it in Windows\assembly). When the project is generated, a folder by the same name (SHFL if you're using the test project) is created, and that's where SHFL.exe is compiled -- it might want Microsoft.DirectX.DirectSound.dll in there too.
Have patience while SGDK2 is still in pre-alpha. There may be some confusing points caused by SGDK2 code that need to be worked out. For the most part, .NET has been pretty good to develop with, but SGDK2IDE itself may be responsible for some confusion.