I have problems building SFML2 too (Windows, VS2005).
5>LINK : warning LNK4098: la biblioteca predeterminada'LIBCMT' entra en conflicto con otras bibliotecas; use la biblioteca /NODEFAULTLIB:biblioteca
5>GLCheck.obj : error LNK2001: símbolo externo "class std::basic_ostream<char,struct std::char_traits<char> > & __cdecl sf::Err(void)" (?Err@sf@@YAAAV?$basic_ostream@DU?$char_traits@D@std@@@std@@XZ) sin resolver
5>Image.obj : error LNK2001: símbolo externo "class std::basic_ostream<char,struct std::char_traits<char> > & __cdecl sf::Err(void)" (?Err@sf@@YAAAV?$basic_ostream@DU?$char_traits@D@std@@@std@@XZ) sin resolver
5>ImageLoader.obj : error LNK2001: símbolo externo "class std::basic_ostream<char,struct std::char_traits<char> > & __cdecl sf::Err(void)" (?Err@sf@@YAAAV?$basic_ostream@DU?$char_traits@D@std@@@std@@XZ) sin resolver
5>Shader.obj : error LNK2001: símbolo externo "class std::basic_ostream<char,struct std::char_traits<char> > & __cdecl sf::Err(void)" (?Err@sf@@YAAAV?$basic_ostream@DU?$char_traits@D@std@@@std@@XZ) sin resolver
5>RenderImage.obj : error LNK2019: símbolo externo "class std::basic_ostream<char,struct std::char_traits<char> > & __cdecl sf::Err(void)" (?Err@sf@@YAAAV?$basic_ostream@DU?$char_traits@D@std@@@std@@XZ) sin resolver al que se hace referencia en la función "public: bool __thiscall sf::RenderImage::Create(unsigned int,unsigned int,bool)" (?Create@RenderImage@sf@@QAE_NII_N@Z)
5>RenderImageImplFBO.obj : error LNK2001: símbolo externo "class std::basic_ostream<char,struct std::char_traits<char> > & __cdecl sf::Err(void)" (?Err@sf@@YAAAV?$basic_ostream@DU?$char_traits@D@std@@@std@@XZ) sin resolver
5>RenderImageImplPBuffer.obj : error LNK2001: símbolo externo "class std::basic_ostream<char,struct std::char_traits<char> > & __cdecl sf::Err(void)" (?Err@sf@@YAAAV?$basic_ostream@DU?$char_traits@D@std@@@std@@XZ) sin resolver
5>Font.obj : error LNK2001: símbolo externo "class std::basic_ostream<char,struct std::char_traits<char> > & __cdecl sf::Err(void)" (?Err@sf@@YAAAV?$basic_ostream@DU?$char_traits@D@std@@@std@@XZ) sin resolver
5>C:\Archivos de programa\development\sfml2\build\vc2005\..\..\lib\vc2005\sfml-graphics-d.dll : fatal error LNK1120: 1 externos sin resolver