Because Windows is silly and requires what's called an import library to link with the dll's. Import libraries contain a list of all symbols found in a particular dll since you don't link to dll's directly on Windows like you would link to shared libraries on Linux. They have the same extension as static libraries(.a for gcc and .lib for VC++) for what ever reason.
Edit:
SFML marks all static libraries with the -s suffix, which helps to prevent one from confusing an import library with a static library on Windows.