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Download MSVC development libraries from http://www.libsdl.org/ (SDL2-devel-2.0.x-VC.zip).
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Unpack SDL2-devel-2.0.x-VC.zip to a folder of your choosing (You can delete it afterwards).
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Copy all lib files from
SDL2-devel-2.0.x-VC\SDL2-2.0.x\lib\x64\
to (for Rust 1.6 and above)
C:\Program Files\Rust\lib\rustlib\x86_64-pc-windows-msvc\lib
or to (for Rust versions 1.5 and below)
C:\Program Files\Rust\bin\rustlib\x86_64-pc-windows-msvc\lib
or to your library folder of choice, and ensure you have a system environment variable of
LIB = C:\your\rust\library\folder
For Rustup users, this folder will be in
%RUSTUP_HOME%\toolchains\{current toolchain}\lib\rustlib\{current toolchain}\lib
Where current toolchain is likely stable-x86_64-pc-windows-msvc.
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Copy SDL2.dll from (already copied)
SDL2-devel-2.0.x-VC\SDL2-2.0.x\lib\x64\
into your cargo project, right next to your Cargo.toml.
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When you're shipping your game make sure to copy SDL2.dll to the same directory that your compiled exe is in, otherwise the game won't launch.