Ok, just saw your private message at the same time
I can't really say what's wrong here because I'm no OpenGL expert. What I can tell though is that in the provided sfeMovie demo source, replacing:
movie.update();
window.draw(movie);
with
movie.update();
sf::Sprite sp;
sp.setTexture(movie.getCurrentImage());
window.draw(sp);
does work for me.
If the same does for you then it's most probably related to OpenGL where I can't help