You must still link with sfml-system.lib.
And if you compile in debug configuration, you must use debug libraries instead (sfml-window-d.lib and sfml-system-d.lib).
For all the newbies out there, I found that I also had to turn off Precompiled Headers, in Visual Studio 2008, in order to get my first sample program to work.
Click on Project -> Project Properties
Go to Configuration Properties -> C/C++ -> Precompiled Headers
Change Create/Use Precompiled Header to "Not Using Precompiled Headers"
If this information is wrong, I appologize. But it is what I had to do in order to get it to work for me.