I assume the issue is running a stand-alone exe (i.e., outside of the Windows IDE). I'm not sure of the problem you are having, but you need to make sure you have the SFML libraries in the directory where your .exe is running.
For Windows, copy in the needed files:
- The executable.
- The SFML libraries (from SFML\bin)
- The Dragonfly font file
- The needed sprites and sounds
For Linux, the steps are the same but:
- The SFML libraries are usually in /usr/lib/libsfml*
- The remote host (where installing) needs to set LD_LIBRARY_PATH=.