I dont know how to set up sfml or if i should download something.
There is anyone who can help me?>
Yes you must download some headers, libraries and external libraries
@the link Shinigami posted...
Basically, unzip the smfl-x.y-foo.zip you downloaded.
Then rename/move/copy/whatever the sfml-x.y/include/SFML directory to your compiler's include/SFML directory.
Don't forget to go to the extentions directory and rename/move/copy the stuff there to your compiler's include/ directory and include/AL and include/truetype directories.
Next, rename/move/copy/whatever the sfml-x.y/lib directory's contents to your compiler's lib directory.
Again, don't forget to move the extensions directory's lib stuff there also.
[MS Windows stuff]
Personally, I prefer to put DLLs somewhere else, but how you do that is up to you. So long as you can find them to copy them to your program's directory before you run your EXE.
Hope this helps.