You can also link SFML and the g++ runtime statically, then you don't have to provide the DLLs. I think it's the flag -static-libgcc (or -static-libstdc++ for the standard library).
By the way, I wouldn't download DLLs from anywhere, since they may contain malicious code, just as EXE files. Search for the DLL on your computer or get it from GNU, if possible.