I recommend using these installers that should work out of the box:
http://www.lfd.uci.edu/~gohlke/pythonlibs/#pysfmlThey have been recently updated, by the way.
For the headers and libraries directories, you can pass them as arguments to the setup.py script. I guess there's a mechanism such as environment variables to avoid having to pass them every time, but that's how I did it when I built the installers myself anyway.
For the DLL missing at launch problem, it can be very annoying because the loading of the DLL may fail because of some dependent DLL failing to load. I remember that I had to copy the correct OpenGL DLL in my current folder because the wrong one was being loaded. The problem disappeared when using the installer I just built.
To be honest, I almost never use Windows for programming, and I don't have a hard and fast for debugging this kind of problem.