How to include all dll's in exe?

DLLs themself can not be "statically linked" into an executable; that completely defies their purpose (well, actually you can use some really weird voodoo tricks to actually do it, but this is neither recommendable nor should you try it if you have to ask this question).

The simple solution would be to identify all the DLLs your program requires (just starting the program in the Debugger will generate a log file listing them all) and copy those DLLs into the same directory as the EXE resides in; as it happens the directory with the EXE file in is also the first directory where the system looks for DLLs before advancing to the standard system directories in default configuration. Package it up and distribute it that way.

the more complicated solution would be, to build static opencv libraries from src, then link your program against those, resulting in 1 large binary exe-chunk, that does not use any dlls (apart from ffmpeg, not sure about that one).

to build static libs, you'd need to run cmake with : BUILD_SHARED_LIBS=OFF

but take a deep breath, before doing that. linking your program will be sigificantly more difficult, because now you have to link all the zlib,libpng, whatever dependecies manually ( which before got conveniently linked into your dlls )

again, the most simple solution is to deploy all the opencv dlls with your program.

You can use the Windows Dependency Walker to determine which DLLs your program needs to run.

Actually, this only tells you which DLLs your program needs to launch successfully. If you load DLLs dynamically (via LoadLibrary) then you are on your own.