You need to put the DLLs in a location that your executable can find. This is in the same directory as the built executable if you run it directly or perhaps the project file's directory if you run it from the IDE or debug etc.
The DLLs are included in the SFML package you downloaded - you need to use the ones relevant to the specific libs you linked to in your project. (If you link to sfml-system-d, you need sfml-system-d.dll)