So far, Windows packages we produce have no external runtime dependencies.
We might want to change this - for example we might want to have dependencies on libcurl/zlib for certain plugins (see e.g MDEV-30432).
This task is about integrating 3rd party into packages - unlike Linux distributions, we can't declare dependencies on system libraries - there is only a handful of those system libs, only for OS and C runtime.

CMake can automatically determine and install runtime dependencies with install(RUNTIME_DEPENDENCY_SET). These dependencies are to be installed into "bin" directory, Windows loader will always look here first, when looking for shared libraries.