I had all kinds of issues with this, I got past the stage of libstdc++-6.dll and libgcc_s_seh-1.dll are not found and then got stuck on libwinpthread-1.dll not found.
In the end this is what worked for me, and I managed to compile it using Notepad++ using NPPExec as follows:
NPP_SAVE
CD $(CURRENT_DIRECTORY)
cmd /c C:\mingw64\bin\g++ -c "$(FILE_NAME)" -I"C:\SFML-2.6.2\include" -DSFML_STATIC
cmd /c C:\mingw64\bin\g++ "$(NAME_PART)".o -L"C:\SFML-2.6.2\lib" -lsfml-graphics-s -lsfml-window-s -lsfml-system-s -lopengl32 -lwinmm -lgdi32 -static-libgcc -static-libstdc++ -Wl,-Bstatic -lstdc++ -lpthread -Wl,-Bdynamic -o "$(NAME_PART)".exe
cmd /k "$(NAME_PART)"
For those of you who aren't fans of Notepad++

here it is, I had to compile it first and then link it separately nothing else worked on Windows. But it works now and I'm very pleased with the result

C:\mingw64\bin\g++ -c main.cpp -I"C:\SFML-2.6.2\include" -DSFML_STATIC
C:\mingw64\bin\g++ main.o -L"C:\SFML-2.6.2\lib" -lsfml-graphics-s -lsfml-window-s -lsfml-system-s -lopengl32 -lwinmm -lgdi32 -static-libgcc -static-libstdc++ -Wl,-Bstatic -lstdc++ -lpthread -Wl,-Bdynamic -o main.exe
Also if you don't want the console window to open then add -mwindows to your linking command:
C:\mingw64\bin\g++ "SFML1".o -mwindows -L"C:\SFML-2.6.2\lib" -lsfml-graphics-s -lsfml-window-s -lsfml-system-s -lopengl32 -lwinmm -lgdi32 -static-libgcc -static-libstdc++ -Wl,-Bstatic -lstdc++ -lpthread -Wl,-Bdynamic -o "SFML1".exe