It works fine for me (Windows XP, Visual C++ 9, both SFML 1.5 and SFML 2.0). What is your configuration?
By the way, you're doing a few weird things:
_input = (sf::Input*) &(_app.GetInput());
You'd better declare a const sf::Input* rather than using this ugly cast.
delete _input;
Nobody told you to delete the window's input object
(it crashes)
sf::VideoMode::VideoMode(w, h, bpp)
You're calling a constructor rather than instanciating the class. Surprisingly it works, but anyway it should be written like this:
sf::VideoMode(w, h, bpp)
And don't include all these unnecessary headers, only SFML/Graphics.hpp is needed in your code. Including too many files can increase the compilation time a lot.