I've just tried it out on a non-VirtualBox WindowsXP, and it was disappointing.
I've made 3 versions of the .exe, one for each music file type: OGG, FLAC, WAV.
The .OGG and .FLAC versions of it does not even start, constole message starts with "Failed to..." something, but it's too fast to read or to capture.
The .WAV version starts, but lags like hell, it's like 1-5-10 FPS, and the music does not play.
I've just installed M.A.R.S. which also uses SFML2, and has .OGG music, and here all the music and sounds plays well, so I don't know what's going wrong, I need to check their sources (and mine).