The matter here is that there is a system effect on Windows that affects the Alt key, and is specific to menus. Why would you want this effect active if SFML by itself doesn't allow you to use menus? Wouldn't it be better to disable the effect, and provide some function for future GUIs that may use SFML to enable it?
I'm sorry if I'm not making myself clear... As I said on another topic, english is not my main language :?