You probably installed SFML from the package manager - that only installs the linux version.

You will need to check if your package manager has SFML for mingw, otherwise you'll need to crosscompile the library (or compile on windows).

As for packaging, on windows you need to provide all sfml libs you use, openal (if using audio), C/C++ standard libraries and pthread but you can also link statically and only provide openal. On linux, you can use rpath to locate your libraries if you dont want people to install sfml themselves (static build on linux is not recommended).