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In my project, the 'uninstall' target is already created by the glew library.  I get this error when SDL2 tries to create it:

CMake Error at _build/3rdparty/SDL2/SDL2-2.0.6/CMakeLists.txt:1816 (add_custom_target):
  add_custom_target cannot create target "uninstall" because another target
  with the same name already exists.  The existing target is a custom target
  created in source directory
  "D:/Code/sdl2-tutorial/_build/3rdparty/glew/glew-2.1.0/build/cmake".  See
  documentation for policy CMP0002 for more details.

To fix it, go to the bottom of the SDL2 CMakeLists.txt file.  Add an if statement to check for the existence of the target before creating it.  The end result looks like this:

if(NOT TARGET uninstall)
  configure_file(
      "${CMAKE_CURRENT_SOURCE_DIR}/cmake_uninstall.cmake.in"
      "${CMAKE_CURRENT_BINARY_DIR}/cmake_uninstall.cmake"
      IMMEDIATE @ONLY)

  add_custom_target(uninstall
      COMMAND ${CMAKE_COMMAND} -P ${CMAKE_CURRENT_BINARY_DIR}/cmake_uninstall.cmake)
endif()

This is how the glew library deals with this possibility in their CMakeLists.txt file.