Nothing to add to Laurent's posting, but you could provide us with more information, for example how you installed SFML into your system (by your distribution's packet manager, or manual from source).
If you're new to Linux, it shouldn't be at all surprised if you downloaded SFML, unpacked it and added the proper paths to your project settings. However, this is not the usual way to install libraries on a *nix system.
Whatever, some more information would be great, so we don't have to touch the crystal ball.