Weirdly enough, it works even without that. My link settings are
g++ hellogl.o -o hellogl -lsfml-graphics -lsfml-window -lsfml-system -lsfml-audio
and it works.
So I guess the only way of rendering a textured sphere would be to do it as a set of triangles, like described here:
http://stackoverflow.com/questions/7687148/drawing-sphere-in-opengl-without-using-glusphere (http://stackoverflow.com/questions/7687148/drawing-sphere-in-opengl-without-using-glusphere)
But in order to texture it I will need to somehow break up the image of the planet into triangular segments and map them to each triangle in the sphere. Is there a way to load a sf::Texture and map it to a openGL entity?