The basic concept of images/textures have changed in SFML 2.
While you just had sf::Image for everything in SFML 1.6, you now get sf::Image and sf::Texture. One can say that sf::Image lives in the CPU related memory (RAM/VRAM) while the sf::Texture lives in the GPU related memory.
sf::Texture is now required if you want to display it on the screen or draw it to a render texture. Thus the function on a sf::Sprite is now called .setTexture().
sf::Image is used to manipulate pixels, which means loading/saving a image or changing any pixel.
Additionally always make sure to check out the
documentation where you could've found the function and a deeper insight too.