Aha! I think I've got it.
Visual C++ Express 2010 doesn't build an import library. When building SFML2, go into the project properties of one of the projects, let's say sfml-graphics.
Properties->Configuration Properties->Linker->Advanced
Where it says "Import Library", put "sfml-graphics-d.lib" if you're building the debug dll, or "sfml-graphics.lib" for the release dll.
Build sfml-graphics, and you'll get a "sfml-graphics-d.lib" in the sfml2\build\vc2008 directory. Copy that into the lib directory, and it'll be accessible like in vc2008.
EDIT: Laurent beat me to the solution! He's right, the imports weren't added.