Not sure if you understand what's going on here.
When you link dynamically on Windows you link against *.lib (VS) or *.a (MinGW) files, they do not contain any code and are called "import libraries". They simply tell the linker thing like: "I have a symbol XYZ and it's located in some.dll"
The linker is now happy and builds your executable. At runtime it will then go and look for that entry point in that dll and thus you'll need the dll files at runtime.
When you link statically on Windows you link against *.lib (VS) or *.a (MinGW) files. Now while they have the same file ending, it's not the same as the import libraries at all. SFML is helpful in that matter and provides the -s suffix. These static libraries actually contain all the code of the library. During the linking stage, the linker will look for the needed symbols in the static library and when used directly include it into the executable and since everything gets included there's no need for files such as *.dll.
I hope that helped - I hope to get the second part of the
linking guide up on my blog soon enough.