To get something quickly running, draw a few sf::Shape or sf::Sprite objects to represent your UI elements. You don't need a separate window, but a separate view is advisable, so that your game map can use different coordinates.
Be aware that UIs are more complex than they appear. As soon as you want to handle input (mouse clicks, text typing, navigating with arrows/tab, ...), you'll easily have to write a lot of code. In that respect, using a library like SFGUI or TGUI is not the worst idea -- even if you don't end up using them, you get a feel about what they provide and how much effort it is to write something (even if it's simpler) yourself.