I've just ran INSTALL, and then copied resulting SFML folder in "C:\Program Files (x86)\SFML" to the proper location in my HelloWorld. Then, run CMake, and got the same CMake errors ("dependencies are missing").
Then, I just manually copied missing libs (flac.lib, freetype.lib, ogg.lib, openal32.lib, vorbis.lib, vorbisenc.lib, vorbisfile.lib), and put them in "SFML\lib" folder.
Now everything works.
Thank you very much for time and effort!