Hello,
You have to load the sf::Image in a sf::Texture (to make it simple, a sf::Texture is a picture living on the graphic card, but sf::Image is an array of pixels (image in RAM) ). Then, Create a sf::Sprite and set its texture to the newly created sf::Texture.
//It's an example, you have to keep the sf::Texture and sf::Sprite as members of your class
sf::Texture texture;
texture.loadFromImage(player->image);
sf::Sprite sprite;
sprite.setTexture(texture, true);
//Then, in PlayState::render()
game->window.draw(sprite);
EDIT : The tutorial you've read is for 1.6. In this version, sf::Texture doesn't exists, sf::Sprite used only sf::Image. Now on 2.0, you have to use sf::Texture.