You need to learn how to use your toolchain. If you're building from the commandline, typically you specify the "include directories" (the folders where it'll look for header files) with a flag like -I, unless they're already in the PATH. It's often easier to simply add folders to the PATH so you don't have to remember this. If you're building from an IDE, then the project configuration menus should have an equivalent setting where you list directories for it to look in. The official SFML tutorials specify how to do this for the SFML headers with a variety of popular toolchains, and whatever it is you're using there should be guides on the internet for it somewhere.
