I have this problem, too. Long time before I did then my own build with cmake and vs2010. But still I have no window. Didn't understand. But I wanted again start to programming with a engine.. I haven't any other comparable engines for games (just something big for 3d games like unity3d, cryengine 3)
Is there any tutorial how I should and configure cmake for sfml 2?? Maybe I just did something wrong..
edit: It's ok.. had to just change one thing. Something liek SetText to SetTextA