I have compiled SFML 2.0 libs in Visual Studio 2010 Ultimate (should work the same in Express)
One of the problems was when importing the included VS2008 solution to 2010 it didn't compile the 10 required -d libs (ex: sfml-window-d.lib).
You had to go into Project Properties -> Configuration Properties -> Linker -> Advanced and set the
Import Library to sfml-window-d.lib for the Debug Profile and sfml-window.lib for Release Profile for each: Audio, Graphics, Network, System, Window
Now those .lib files won't show up in lib/vs2008 like the other .dll and .lib. They appear in build/vs2008 Now you can copy the 10 lib files into your directory where you are linking to the SFML library in VS2010. You should have the full set of 37 files to comple SFML 2.0 projects.
OR
You can download all the VS 2010 compiled SFML 2.0 files here:
http://media.codecollision.com/SFML-2.0-VS10-libs.zip