Try without the 0 at the end. I copied it from your code, it's been a long time since I used 1.6.
gameScreen.Create(sf::VideoMode(800, 600), "Lazeroids!", sf::Style::Titlebar | sf::Style::Close);
BTW it was only an example, the doc says that sf::Style::Close contains sf::Style::Titlebar, so Titlebar is actually useless if you already use the Close style.
gameScreen.Create(sf::VideoMode(800, 600), "Lazeroids!", sf::Style::Close);