In my SFML tutorial, I set it up so SFML is included and set up to link using relative paths, so you can just download the zip, open the solution and be off to the races.
If you check out part 1 (http://www.gamefromscratch.com/page/Game-From-Scratch-CPP-Edition-Part-1.aspx), you can see an example ( with screenshots ) of setting up a project to be relative pathed. The settings are for C++ and the Linker. The example is in Visual Studio 2010, but 2008 is close enough you should be fine.
Wont it just return a file not found error?Headers are only used when you compile the code, not when you execute it. Have you ever seen any application that was distributed with C or C++ headers? ;)