You can. Don't bother with CMake, it's a meta-build system which is used to recompile SFML. Since SFML is distributed in both dynamic and static forms, you don't need to compile it yourself. And statically linking the standard library is not something that you should do unless you really know what you do, so forget that too.
I don't see why one should look into CMake, it's great and so simple. After you know how to use it, you won't depend anymore on precompiled libraries (not only limited to SFML).
You're always so much against statically linking the runtime library. I know there are more pros for dynamic linking than static linking but the argument that you
really need to know what you do seems really scary although it's not (unless you're pulling together 12 diffren libraries or so
). You only need a few further changes in the settings. No magic behind all this.
From the responses I've received so far and with my limited knowledge, if I don't link statically, my .exe program will not be able to run on all Windows PCs unless I include dlls on the distribution CD and install them along with my .exe program. Is that right?
If you only want one .exe file you'll have to link
everything statically including the runtime/standard library. But then again as mentioned by Spirro you'll only have to install the VC redistributionals which in fact are mostly already installed and if not you can point people to the Microsoft website.
Is there a link to info on how to distribute and install programs using SFML so they can run on any PC?
You should still read a bit more about libraries and Windows application. Basically if you use the x86 SMFL libraries (so it will work on x86 and x64 machines), install the right runtime redistributionals and the target PC supports the used OpenGL version, your application will run on that machine. This should be true for most of the Windows XP, Vista and 7 machines.
I would also like to point out that you don't necessarily need to use VC++, there are other IDEs out there that use GCC for example and by definition don't link to any Microsoft libraries unless you make them.
You won't need to link against any Microsoft libraries - true, BUT if you compile with MinGW it still will look for the mingw runtime libraries unless you link statically. So you still end up with the same 'problem'.