...
int main()
{
// Create the window
sf::RenderWindow window(sf::VideoMode(800, 600), "Window");
tgui::Gui gui(window);
// Load the font (you should check the return value to make sure that it is loaded)
gui.setGlobalFont("C:/Users/corleone/Documents/Visual Studio 2010/Projects/MySfml/MySfml/TGUI-0.6-alpha2-Visual-C++10-2010-32-bits/TGUI-0.6-alpha2/fonts/DejaVuSans.ttf");
...
//window.clear();
// Draw all created widgets
gui.draw();
tgui::Button::Ptr button(gui);
button->load("C:/Users/corleone/Documents/Visual Studio 2010/Projects/MySfml/MySfml/TGUI-0.6-alpha2-Visual-C++10-2010-32-bits/TGUI-0.6-alpha2/widgets/Button/BabyBlue/Normal.conf");
window.display();
...
2 things I noticed right away. First, you don't even follow your own comments direction (about checking the return value on the font loading). This leads me to believe you just copied and pasted this code without knowing what your doing.
And second, you load a button every single frame after the gui draw call is done. This also leads me to believe you have no idea what your working on. Understand the libraries your working with before you randomly throw code together and ask why it's not working and ask us to fix it for you.
I apologize if I come off as harsh, but honestly it doesn't even look like you tried...