I suppose that when they say "no external dependencies", they actually mean "you won't have to run around the internet downloading, installing and maintaining maybe-not-so-up-to-date esoteric packages", because
- assuming raylib is not a header-only library, linking with
raylib
is the compiled functions/classes of raylib
winmm
"winmm.dll is a module for the Windows Multimedia API, which contains low-level audio and joystick functions.
winmm.dll is a system process that is needed for your PC to work properly. It should not be removed." (source)
gdi32
"exports Graphics Device Interface (GDI) functions that perform primitive drawing functions for output to video displays and printers. It is used, for example, in the XP version of Paint. Applications call GDI functions directly to perform low-level drawing (line, rectangle, ellipse), text output, font management, and similar functions." (source)
opengl32
This is the interface between applications and the graphics card. Windows will typically supply a basic version, allowing the apps to run, then the graphics card vendors will supply another one to adapt the OpenGL API to how their card actually works.
So, although you do need to link against some libraries, you'll only have to download raylib's since the other three are already installed on your computer.
I suppose they could have made it so that they would search for the DLL at run time, without the need to use the (windows) .libs at link time, but it requires a setup a bit more complicated (AFAIK).