This one is very straightforward. Using this code:
while (window.GetEvent(Event))
{
if( Event.Key.Code == sf::Key::Down )
{
// setting a breakpoint here triggers when the mouse gets moved most the time.
Moving the mouse around will trigger Key::Dir events and possibly (untested) others. Very strange.
Windows XP. VC++ 09. SFML2.0
[edit] - I investigated this further and found this to be re-produceable when moving the the mouse coordinates outside of the top-left corner of the window and back.
In other words: Just shake the mouse real fast next to the window icon.