I don't know if others would agree with me, but in my opinion code design is something that you kind of pick up on as you write more and more code. There are, of course, things that can help in addition to writing code such as reading and understanding other peoples' code, various book, and perhaps even classes.
The way your program is now, I wouldn't really say it's designed poorly. There isn't much too it yet. Sure, you might get some things that don't quite work how expected, but I say finding the problems and fixing them are part of the fun of programming. My advice is to keep working on what you're working on, and at the end of it take a step back and think on what you could have improved on in the various sections of code you had set up to get your game working. My only real experience with C# was with XNA so I can't really comment on how you are handling your events, but...
window
.KeyPressed += new EventHandler
<KeyEventArgs
>(OnKeyPressed
);Maybe I am not familiar enough with SFML.net, but doesn't the KeyPress event only trigger when you press down on a key and then let go? If you are looking for fluid movement I think what you would want is the KeyDown event, which should trigger as long as a key is being pressed down. Something else you might consider is using real time Keyboard/Mouse/Joystick classes rather than processing events, but that's entirely up to you.