I suppose you are using SFML 1.5, where images cannot but loaded before a window has been made (on Mac OS X) ; and I guess that's your issue. This is because there is a bug that prevents the shared OpenGL context from being activated.
Thus you have two choices :
- build the SFML frameworks from the sources of the Subversion repository sources
- make sure you don't load any image before making a window
By the way you should have seen a message in your console explaining the image could not be loaded (size too high or something like that).