OK, I managed to compile SFML (went smoother than I expected).
But I still have the problem: the plugin .dlo is somehow ignored when the game runs on XP systems.
I'm linking the static libs (smfl-window-s.lib;sfml-system-s.lib;opengl32.lib;winmm.lib;gdi32.lib;XInput.lib): could this be a source of troubles ?
P.S.
I've made a simplified version of my plugin that does not use SFML and it works fine on XP (at least when compiled with toolset v140_xp), so it looks like the trouble appears when I want to use SFML.