Is it the demos/tutorials that gives the error or is it a custom application?
If you add phxGraphics_FreeImage to the uses class FreeImage.dll is used for texture loading, theese are the supported graphics librarys. If you only use phoenix images you don't need any of the following.
phxGraphics_FreeImage - FreeImage.dll
phxGraphics_Vampyre - Vampyre Imaging Lib (In search path)
phxGraphics_SDL - SDL_Image.dll
phxGraphics_DDS - native DDS support (No external requirement)
For the rendering these are the variants:
phxOpenGL_SDL - OpenGL32.dll + SDL.dll
phxOpenGL_GLFW - OpenGL32.dll + GLFW.dll
phxDraw - OpenGL32.dll + VCL
phxDirect3D9_SDL - D3D9 + SDL.dll (Experimental).
You can create your own version of the above by extending the TPHXOpenGL_Renderer class to add a own window framework.
You might also require lua if you use the scripting:
phxScripting - Lua51.dll