However, since I do not have VC++ Directories for C++ 2010 Express
You must set it in your project's settings, in the properties sheet or something like that. Anyway, a quick Google search will give you what you want (a lot of people complained about the removal of the global search paths in VS 2010).
I just cannot find VC\include directory...
I have <install-dir>/VC/include in my VS2010 installation. Are you *really* blind? :wink:
For the Step#2, do I also need to copy the *.dll files..?
DLL files are loaded when you launch an application that uses SFML. So they must be located in the same directory as the executable of the application, or in a directory which is in the PATH environment variable.