EDIT: Problem solved. I just remade the visual studio project and checked "empty project" checkbox.
That solved it for me, everything is running fine now.
I want to create my own little game engine on top of SFML. I'm using Visual Studio 2013 and my vs solution is like this:
Solution:
EngineProject: is a DLL project that uses SFML libraries linked statically.
GameProject: is a win32 application that depends on EngineProject.
So basically: SFML->EngineDLL->Game
I've managed to build everything, the engine.dll that uses sfml libs, and game.exe that uses engine.dll, running the SFML example with the little green circle, but when I close the window the application doesn't stop and I need to stop it from task manager. Inside visual studio the same thing happens. Window is closed but application keep running.