Bump.
I have pretty much the same problem as the OP (only a console screen, no render window at all), but only if I compile my application using the SFML DLLs externally (dynamic build). If I compile it statically I have no problems whatsoever. This is for SFML 2.0 (SVN dump, compiled with MSVC++2010Express).
This is both 32-bit on a 64-bit Windows 7 OS. Building and running 64-bits SFML + application gives the exact same problems (no render window on dynamic, no problems on static). However, I'm building 3 applications at the same time (client, server, map editor), and would to use DLLs for this. Any ideas how to fix this?