I've seen alot of programs using a single exe file but hiding the DLL files somewhere. Like Spotify using zlib libary but i can't find the DLL in the same directory as the EXE.
In general, merging an EXE with a DLL happens at runtime when the dynamic linker loads your application, notices the DLL references, loads the DLL, resolves the references, then lets your application run.
To "get rid of the DLL", you need to make use of static linking - which requires "static link libraries" (generally suffixed with .lib under Windows, so you'd need to have jpeg.lib, libpng12-0.lib, libtiff-3.lib, etc available at build-time).
Switching between the two is usually a linker flag, or a Project property (if you're using an IDE).
... and the .lib that is provided in there is the dynamic link version (which is what most people want/use/prefer). You're going to need to recompile SDL by yourself to make a static link version (and then the .lib will _probably_ be called a different name - which is what you use in your linker properties to differentiate between the two different libraries).