i agree with Rosme about reading a c++ book. pointers and references are most important features in c++ language. if you had difficulties to grasp these concepts then you may consider to switch to other programming language that don't use low level features like java or c#.
to solve the compiler warning in you code, just assign the memory address of your main sprite to the pointer sprite by using the address-of "operator(&)" like this:
Selected_Piece = &Piece_1;
and you can use the pointer by dereference it. if you were needed it, with "operator(*)", like this:
window.draw(*Selected_Piece );