Well it seems like I've got this fix.
Apparently, MinGW doesn't like paths with spaces in them, so I had to move it away from Program Files and to somewhere else.
The build process works 100%.
However the installation has an error:
-- Install configuration: "Release"
-- Installing: C:/Program Files/SFML/./include
CMake Error at cmake_install.cmake:36 (file):
file INSTALL cannot make directory "C:/Program Files/SFML/./include": No
such file or directory.
Makefile:72: recipe for target 'install' failed
mingw32-make: *** [install] Error 1
Edit: Checked the tutorial and changing CMAKE_INSTALL_PREFIX fixes this.