Game Maker Studio can archive your game files into one exe file and run it properly, because Game Maker uses (as far as I know) Java, C and C++ dll-s, and those dll-s was already installed on most of the computers.
But if you have no installed Java (JRE,JDK), and or C++ Runtime Redistributable, then I assume those Game Maker exe-s won't work.
If you manage somehow to install all the sfml dll-s on every computer, then sfml could do the same thing easily.