And what version of OS did you develop/compile it on? Does it run on other computers with the same version of MS-Windows? Your game may not be backwards compatible if you compiled it on Vista or Windows 7.
Another problem is that you are trying to run the debug version on another machine which may not have the debug version of MS-Windows DLLs. Recompile the program for Release mode and test again.
When I make an SDL program (compiled under Windows 7), it doesn't require any such DLL even under Windows XP. Ichigo, would you happen to be building your game under Microsoft Visual C++? I know that even terminal programs made with that compiler require that DLL for some reason --- even release builds.