Apparently the lock don't happen if I comment out:
sf::Mouse::SetPosition( sf::Vector2i( myWindow.GetWidth() / 2, myWindow.GetHeight() / 2 ), myWindow );
If you are not doing any locking then Windows probably are... I'll try and find a work around. But seriously, dude we need a better way to create a FPS camera or something.
Update: Or wait.. might be something else.. though funny thing is when the mouse is OUTSIDE the window it don't lock =/