No. Like I said, SFML currently provides no entry point for going deeper into the OS-specific stuff. So you won't be able to handle Win32 events from your SFML event loop.
Why don't you add your configuration dialog as a separate window? This way you won't have to mix SFML and Win32 code.
That is quite disappointing. Right now I'm ahead of building a codebase for scientific visualization, where I want to use GPGPU and render in hacky ways. GLUT and the likes hide the low level stuff and are too loser-friendly to use. (Plus MainDisplayLoop is a pain)
I was happy to find SFML, as that is thin enough to access the stuff I need and is native on every OS. However, I'd hate to have config files and seperate windows for that matter.
I was happy to see that wxWidgets has menus as well, but that seems utterly hacky (main function implemented by a macro??). I know it is nothing to fear, but come on... it's 2012 and C++. SFML seems just right in code, but menus are missing badly.
I would decide on learning SFML and stick with config files for the moment, if there would be promise of som sort, that "yes, there are more important isses first, but we'll get to making menus eventually". It's really nothing much people would expect: drop down menus, tick-boxes, text boxes for input-output. I know this is great effort, but it would add serious versatility.
Laurant? Is there really no intention to add menus ever? If not, than I will have to stick with wxWidgets (ugly) or Qt (difficult and serious overkill).