Hehe sure: As soon as you link to sfml-audio dynamically (debug or release doesn't matter), then the window doesn't show up/application's not running (I did not throw that in a debugger). You don't even have to use SFML Audio (I mean code-wise), so it might be something while initialisation happens. By the way, the binary is showing up in the task manager, eating 0% CPU power.
Linking statically isn't a problem at all, everything works fine.
I wonder that you don't have that problem. :/ I'm not an expert on programming under Windows (installed MSVC2008 to be able to test that "bug" someone reported on a lib of mine), so maybe I'm missing a setting or something.