Yes. You should start the whole process again, after deleting the generated directory and choosing "File -> Delete cache" in CMake.
1. Enter SFML directory ("Where is the source code"), let's say the path is X
2. Enter build directory ("Where to build the binaries"), I would choose X/build
3. Click "Configure" and select the compiler/IDE (probably VS 2010)
4. Some red options appear, like the install directory or static/shared build type. Choose them according to your needs. The install directory is where your include, src and lib folders are finally placed.
5. Click "Configure" again
6. Click "Generate"
7. Open the Visual Studio Solution in X/build with admin rights and compile the INSTALL project
8. Done