Shape hpBar;
Shape mpBar;
Shape xpBar;
hpBar.Rectangle( 50, 30, Player.HP + 50, 16, Color(0, 255, 0), 1, Color(255, 255, 255) );
mpBar.Rectangle( 50, 60, Player.MP + 50, 16, Color(0, 0, 255), 1, Color(255, 255, 255) );
xpBar.Rectangle( 50, 90, Player.XP + 50, 16, Color(255, 0, 0), 1, Color(255, 255, 255) );
That's how I set them up, then I just draw them to the screen like everything else.
Screen.Draw(hpBar);
Screen.Draw(mpBar);
Screen.Draw(xpBar);
I'm using SFML 2.0 with VC++ 2008