I'm no expert myself, but I just thought of something. For example you have a background image and text over it with sf::Text. You make it so your window polls events for keys, if you tap or touch the 'w' key, the program highlights one of the texts and same with 's', 'a' and 'd'. You also have another key (your choice) that verifies which text is highlighted and does actions accordingly, such as start the game, view scores, quit, etc.
Note that not necessarily text is needed but any drawable could do. That would be a key based main menu, for mouse usage I don't have a grasp myself so I won't say anything about it. Note that I haven't made a main menu myself, this is just the idea I have for a basic one. You don't necessarily need "true" buttons, you can just have a drawable of your choice work like one.
In case you want a true button then there's SFGUI that gives you a GUI based on SFML and made for working with it (as far as I know). There must be plenty of ways to do this, don't just stick to my comments and try looking further, you may get something far better.