Im pretty sure you have to set OpenGL's model view matrix before listing the verticies.
something like...
...
glClear(...);
glMatrixMode(GL_MODELVIEW);
glLoadIdentity();
glBegin(GL_TRIANGLES);
...
Its been a while since I used the direct rendering pipeline.
You might want to consider switching over to VBOs and VAOs
theyre a little more in depth to set up but they give you a lot better control and performance.
http://www.opengl.org/wiki/Vertex_Specification (http://www.opengl.org/wiki/Vertex_Specification)
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**update
In case it helps I dug up some of my old code where I loaded a cube (its in SFML 1.6)
Its pretty similar to what youre trying to do.
http://pastebin.com/jXe88BtJ (http://pastebin.com/jXe88BtJ)