You need to copy sfml-window.dll either:
1) to the same directory as your executable, or
2) to some other location that windows knows to search for.
http://msdn.microsoft.com/en-us/library/ms682586%28v=vs.85%29.aspxThis is not something you set through Visual Studio. I would recommend you just stick with option (1), because when you distribute your program, your users are unlikely to have the dll installed on their own system, and you might forget that they need it.
What I do is whenever I start a new project, I just copy every single dll that I think I
might need to my output directory. Then I don't have to worry about it while I'm developing. When your project is finished and ready for distribution, you can always remove the ones you didn't end up using.
Also, if you're going to run your program from within Visual Studio (ctrl-F5), you'll need an additional copy of the dlls in your actual project directory, not your output directory, becuase Visual Studio runs the program from there, instead of the output directory. I recommend you instead just run the program from it's own folder via a your shell.