Thanks for your answer!
I've found this site which has a nice tutorial, but I'm getting really frustrated with the docens of missing dll files, and so many other problems that I can't even begin to understand. (http://www.gamefromscratch.com/page/Game-From-Scratch-CPP-Edition.aspx , I hope I can post this link gere, otherwise I'll remove it).
... that there is an excellent tutorial...
The catch is, it's written for VS 2010, and I do not believe SFML ships with 2012 binaries (or even 2010!) so that adds a gigantic barrier of entry for new developers. I am fairly certain 2012 and 2010 are not binary compatible, meaning you need to rebuild the C++ libraries ( like SFML for example ) for each different version.
Maybe one of these days I will download and install 2012 and make a compatible project available for the tutorials. If you search on the site, there is a post about building SFML, but at this stage it might be a bit beyond what you want to do.