I think this means having only one execution file without additional DLLs or something isn't possible while using SFML. You always have to add CRT files.
You could try to recompile sfml with /MT, but I never tried this.
You told me I would have to download the redistributable for computers without VC++. I didn't do so and my apps still worked. So is there no use of the redist in general or did I just have luck (my apps aren't too complex atm)?
Your target computer probably has them already installed (vista comes with them out of the box).
And stop worrying about those redists.
Most computers already have them installed.
If this is not the case you could tell the user to download them or you provide them along with your application.
Think about it:
There are applications that need the .Net-framework, which is much bigger.
Still it has to be installed in order to run them.