Compiling from source is always a good idea, but for my taste the jump to incompatible compilers has been made too fast, because there's only one rather subtle indication that the compiler isn't the same as the I used for the Nighly Builds.
krzat's answer is only partically true, since he linked the dynamic libraries, but still defined SFML_STATIC. When linking SFML static, you of course have to use the libs with the -s suffix. But it seems Xilen figured that out on his own.
If you're missing a DLL it doesn't mean that your compiler is incompatible. Also if you link against the static SFML libraries which linked dynamically against the runtime libraries, you'll still need to ship the runtime library DLLs, regardless if you link them statically into your application. My Nightly Builds however always ship with the static libraries for which the runtime library was linked statically, but since there's a name clash they get moved into the directory
lib/static-std.
Now the one indication that you might be using a different compiler than I used is: I've moved from SJLJ to DWARF2 regarding the exception handling, as such your application shouldn't be looking for libgcc_s_
sjlj-1.dll.
So don't always jump to conclusions and if you do so you might want to give a more detailed reason.