Alrighty, where to start?
You're probably looking for sf::RectangleShape, since you can give those borders, and textures. A simple button class like the one you want is very simple to implement if you have basic knowledge in C++.
sf::RectangleShape has the sf::RectangleShape::getGlobalBounds()::contains() function, to which you could pass the mouse position to check whether the mouse is over it.
However, judging by your previous questions, you aren't too proficient with C++ yet, so I would definitely recommend learning it without the help of SFML. Just grab a book, like C++ Primer, 5th Edition. Take a few months to learn basic C++ before giving your hand to game development. When you're done, you'll be able to do most of what you've asked for on your own, as what these questions are, are very, very basic concepts that any programmer should know.