I always assumed those were statically linked into the binary or installer or something on Windows. Are people pulling down dependencies through the .msi?

Windows provides almost 100% of the system-level dependencies you need. You don't need to specify things like "I need gstreamer for video decode" or "openSSL for my network". Those are all part of a standard Windows system and they have stable API/ABIs.

Only thing you ship with your application are the libraries specific to your app. If you use Qt, you ship Qt libraries as bundled DLLs. If you use Havok physics engine, you ship that as a bundled DLL.

MSI can trigger things like installing optional Windows components but it is not a package ecosystem like apt or dnf. It is more like dpkg or rpm.

Yes, the DLLs are usually installed along with the binary by the installer on Windows.

What I was talking about was the setup required on your machine/CI to get the dependencies to build those DLLs.