Well... nobody even bother to reply. A bit sad if you ask me. Here's the code, it breaks on m_Socket->Connect(). (Or maybe m_Socket->IsValid, I'm not sure, but debugger shows that little green arrow on Connect())
m_Socket = new sf::SocketTCP();
m_Socket->SetBlocking(true);
if (m_Socket->IsValid())
{
sf::Socket::Status SockStat = m_Socket->Connect(port, ip, 10.0f);
if (SockStat != sf::Socket::Done)
{
//...