CMake cannot find the FindSFML.cmake file, which would help it to find the SFML headers and libraries. This file is not reachable by CMake by default, you must either copy it to the /usr/shared/cmake-2.8/Modules folder (standard location for FindXxx.cmake files), or put the path to the FindSFML.cmake file in the CMAKE_MODULE_PATH variable when you configure your project, so that CMake can find it.
The FindSFML.cmake file is in the /cmake/Modules sub-directory of SFML (or in <install-dir>/share/SFML/cmake/Modules if you installed SFML).