The debugger doesn't use the debug-directory as its default working directory unless you tell it to.
Start by putting the dll's in the project directory (i.e: mygame/ instead of mygame/debug/)
Also, make sure you're using the proper libraries/dll's, something like this:
#if defined(_DEBUG)
#pragma comment(lib, "sfml-system-d.lib")
#pragma comment(lib, "sfml-window-d.lib")
#pragma comment(lib, "sfml-graphics-d.lib")
#else
#pragma comment(lib, "sfml-system.lib")
#pragma comment(lib, "sfml-window.lib")
#pragma comment(lib, "sfml-graphics.lib")
#endif
Also, you're need to include "sfml-main.lib" to use main instead of winmain, unless your project is a console app.