There's no direct UTF-8 -> ANSI conversion available in SFML, but you can do it with sf::Unicode::UTF8ToUTF32 and sf::Unicode::UTF32ToANSI.
std::string utf8 = ...;
sf::Unicode::UTF32String utf32;
sf::Unicode::UTF8ToUTF32(utf8.begin(), utf8.end(), std::back_inserter(utf32));
std::string ansi;
sf::Unicode::UTF32ToANSI(utf32.begin(), utf32.end(), std::back_inserter(ansi));
If you're interested, this kind of conversion is easier in SFML 2.
std::string utf8 = ...;
sf::Utf8::ToAnsi(utf8.begin(), utf8.end(), std::back_inserter(ansi));