I presume this is a line with thickness.
As mentioned in the SFML tutorials, a line is just two vertices in a vertex array or - if it has thickness - a rectangle.
That said, positioning that rectangle can be a little tricky.
So, if you need a line with thickness, consider using
Selba Ward. It is a collection of SFML drawables that can be used/included independently of each other.
It includes a simple
Line object that you can use to create lines with (or without) thickness including adding texture to them as well as keeping the interface you are used to with SFML.
It also includes
Spline that you can use to create "polylines" - multiple lines connected end-to-end. It can create Bezier curves. Again, this can have thickness or none - including changing thickness along the spline itself. Have a look at
Selba Ward's SFML forum thread here and look at some examples
There are other objects there too, ranging from extremely simple (like Line, for example) to extremely complex (for example, Console Screen).
View
Selba Ward's wiki to see the full list. Pick and choose what you like