If you link to SFML statically, this is almost possible. On Windows, some DLLs like OpenAL32.dll have to be delivered (if OpenAL isn't installed), and depending on the compiler, you might have to distribute some additional files. For example, in MSVC++, you can't link statically to both the CRT and SFML (or at least you couldn't when I tried it the last time, which was a while ago).