You can use DependencyWalker to find out all the dlls needed (Visual has few of MS runtime ones linked and they are not always present).
There is a quick searcher program for Windows called Everything that'll let you find the MS dlls anywhere they are (the ones in VC/redist of your Visual Studio are the ones you should use, you will likely find dlls of same or similar name in many programs, VirtualBox, many games, VS Code, etc. use them too and bring their own but you shouldn't use or redistribute them).
You can also use VirtualBox with a clean Windows installation in it and go off of error messages (you can also use that to test your package for working on a clean Windows).
As for your own files - getting that running is totally up to you, SFML never opens files without being told to do so by your code.
