Also google or youtube sfml coder.
His tutorials were very complete in those first steps. I followed his steps, took notes, and got SFML 2 up in VS2010 in no time.
http://sfmlcoder.wordpress.com/2011/06/15/building-sfml-2-nmake/I'd also suggest going right to SFML 2, beta or not. For one thing it works fine for me. For another it's almost done, it's at 97% on the github milestone.
But the main reason is if you learn 1.6 first you will need to un-learn a bunch of input functions and other things that you'll be better off just saving the trouble and going to version 2 to begin with.