I'm using windows version,and SFML 2.5.1 does not support this.
Other framework such as SDL2,GLFW,bgfx,they all support drag drop file message.
It's easy to achieve with about 10 line codes,but I suggest SFML official built-in to do this.
That means I don't need to re-do this when I update SFML.
Just search WM_DROPFILES with SDL2 or GLFW or bgfx source code you will see how it works.