The problem is that your app is no loosing compatibility... Why use SFML therefore ?
What do you want to do exactly ?
Can't you use an existent GUI ?
EDIT : What about Qt or wxWidget ?
Well, I do want to write a game, yes. A GUI is not the primary goal, so Qt or wxWidgets are not necessary. It's just that Windows users don't want to enter command line parameters to configure the game options. That's why I would add a native menu and some modal dialog boxes to the Windows version. The game would still be platform independent since I'd enclose every Windows-specific stuff with #ifdef WIN32. And it would still behave identical on every operation system, only that the Windows users have a menu above the window and Linux users don't and need to use command line parameters to change options.
That's similar to the NES emulator FCE Ultra: Compile it as a native Windows and DirectX version and you get a typical Windows interface with a menu and dialog boxes. Compile it as the SDL version and, in Windows and Linux alike, you only have that crappy standard window and you have to enter the options at the command line. Everything from the same source package and with the same configure script.
But it's o.k. I found out a way to do the menu anyway: I'll just use EnumWindows, GetWindowThreadProcessId and GetCurrentProcessId. That will give me the application window as a HWND.