Use something like http://www.dependencywalker.com/ to find this out and ship all DLLs that are not part of standard windows install. Do take notice of any licenses however first. We don't want you being sued.
For Linux, don't include any .so files. Instead include the dependency in the package manager your using, and the installer will auto download any missing libraries (Linux is much more advanced than Windows when it comes to libraries)
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