For anyone who comes after me with this question. The following opens our appropriate window type.
sf::WindowSettings Settings;
Settings.DepthBits = 24; // Request a 24 bits depth buffer
Settings.StencilBits = 8; // Request a 8 bits stencil buffer
Settings.AntialiasingLevel = 2; // Request 2 levels of antialiasing
sf::RenderWindow Window(sf::VideoMode(ScreenWidth, ScreenHeight, 32), "SFML OpenGL Window! BYAH!", sf::Style::Close | sf::Style::Fullscreen, Settings);
And when you use text you need to remember to use the following before your .Draw() commands.
Window.PreserveOpenGLStates(true);