So with 'Resource' do you just mean images or as in thr wiki entry from a resource (.rc) file? Because the .rc file is Windows or even Visual Studio only.
To load some images you can simply call
sf::Texture tex; tex.loadFromFile("img.png");To load from a package of resources you'll have to look a bit further (e.g. using zlib would be a way).
And if you actually want to integrate the resources into the executable, things can get even more complex for different compilers (which ones are you using?)