Improve build system infrastructure and dependencies

[WinterWind33]

Description

Right now, Nikman has a very chaotic build system configuration, with some dependencies being statically linked and other dynamically linked: this can cause, like for SFML libraries, a big CMake configuration mess because the sfml-audio target is statically linked even though the openal32.dll, that is part of sfml, is being manually used as dynamic despite sfml being static.

What this task aims is to clean up the CMake infrastructure, make dependencies more clear, either dynamically linked or statically linked.