I'll do that now, but it doesn't seem to matter what I do. I've taken working examples from elsewhere and get the same issue.
Hmm we haven't asked yet, what should've actually been in the first post anyways:
What exact SFML version are you using or from where did you get it?
What exact MinGW version are you using?
Because if the GCC version >= 4.7.x and you're using the RC builds, then it won't work and you'll have to recompile SFML or use my nightly builds.