If i understand your question correctly then you should use the input classes for this rather than the event based ones.
Assuming you're on 2.0, this can be done by querying sf::Mouse and sf::Keyboard. Use sf::Input for 1.6.
Pseudocode for SFML2:
if(sf::Mouse::isButtonPressed(sf::Mouse::Left) && sf::Keyboard::isKeyPressed(sf::Keyboard::LShift))
//Do stuff
Pseudocode for SFML1.6:
const sf::Input &input = window.GetInput();
if(input.IsMouseButtonDown(sf::Mouse::Left) && input.IsKeyDown(sf::Key::LShift))
//Do stuff
As things get more complex using something like
thor::Action might be a better solution.