Key down is a state, you can request it anytime :
bool KeyDown = Win.GetInput().IsKeyDown(sf::Key::xxx);
bool KeyUp = !Win.GetInput().IsKeyDown(sf::Key::yyy);
While key press is an event, it happens once and it wouldn't make sense to request it; instead you're notified when it happens :
sf::Event Event;
while (Win.GetEvent(Event))
{
if ((Event.Type == sf::Event::KeyPressed) && (Event.Key.Code == sf::Key::xxx))
{
...
}
}
This is well explained in the tutorials.