There is no integrated GUI in SFML, you can either use a third party GUI like SFGUI, or create the GUI yourself.
Creating the GUI yourself means you'll create a button in paint, add a sf::Sprite to your window with your button image as texture. Than you should write code like:
//pseudocode
if(mouse.x >= button.x && mouse.x <= button.x+button.width && mouse.isPressed() && mouse.y >= button.y && mouse.y <= button.y+button.height){OnClick()}
You probably want to put this into a class and add some slightly advanced code with different button textures on mouse hoover and button press, but you should get the point.