[gnoway]

In this example, you probably don't use zlib or libpng or SDL or libcurl or GMP. Your application targets a version of the .NET framework and you use System.IO.Compression, System.Windows.Media.Imaging, DirectX, and whatever the .NET equivalents are for your curl use case and GMP. You might use NuGet to find alternative packages to add to your solution - you are authoring in Visual Studio - for some or all of this. DirectX looks tricky.

Or, if you insist on writing 'unmanaged code,' you are probably finding similar capabilities in native libraries distributed with Windows; it's DirectX's natural environment. Otherwise, you're responsible for doing as you suggest: downloading/compiling the various libraries and stashing them in a nominated area for use by your build toolchain.

Also there's always msys2/mingw64, which does have a package manager (pacman I think?) and you woudl then distribute the necessary runtimes with your program.