Have you correctly compiled SFML?
In case you want to answer "
no, should I?", here is a quote from the tutorial:
Important: you must download the package that matches your version of Visual C++. Indeed, a library compiled with Visual C++ 2008 won't be compatible with Visual C++ 2005 or 2011 for example. If there's no SFML package compiled for your version of Visual C++, you will have to recompile SFML.