There is no way to do it in SFML, if you're desperate you can try do it separately for each platform:
Windows -> must be function in win api
Linux -> easiest way imo = zenity + popen, zenity is not guaranteed to be present but it's really common
Mac -> there probably is a function in cocoa for that
Or you could write standalone cross platform program in any language that uses real toolkit(preferably something with drag and drop GUI designer, like Qt, Lazarus etc.) which only launches a dialog and then writes path to a file, then in your c++ program you'd execute that program with system() and read the file content to get the path.