The most likely cause is that the path to the image doesn't fit with the working directory.
One annoyance with Visual Studio is that by default it sets the working directory to $(ProjectDir). This means any relative file access will be relative to where your project file is, not where the exe was built.
You can change that in the project properties, under Debugging / Working Directory. I set it to $(TargetDir), which is where the exe goes.
So the things to check:
- where is the exe being placed?
- where is the image you are trying to load?
- what string did you give SFML as the path to the image?
(This setting only has an effect when running from inside of Visual Studio. If you run the exe from explorer, the working directory is set to where the exe is)