"Fix" using SDL from externals.
Fix compilation with SDL2. (based on a patch from matthewharveys)
Fixes issue 5971.

Conflicts:
	Source/Core/InputCommon/Src/ControllerInterface/SDL/SDL.cpp
Clean up SDL includes a bit. Maybe fix an SDL2 problem.

Conflicts:
	Source/Core/InputCommon/Src/ControllerInterface/SDL/SDL.cpp
Add the option to turn on only the EGL interface to use desktop OpenGL with it.

Conflicts:
	CMakeLists.txt
Fix header guard and definitions not being set to 1