There's not a single way to build something on Windows, so there's no magic collection of dll that will just always fit.
If you just have the code, then make sure to use a general build system for example like CMake, so people can generate the needed make or project files on Windows. Other than that, you shouldn't provide any DLLs as long as you don't have an EXE to ship. Just tell to whomever wants to build it on Windows, where to find SFML (and any other dependencies).
Alternatively, you could also try and use appveyor to build some binaries, but unless you pay for it, you need to make your code open source.