Just create an empty project, then add the libraries to be linked yourself. Also, in case you aren't already, you should use SFML 2.0. You'll have to build the binaries yourself, but there's no point learning the old version at this stage.
You should be able to find a setup tutorial on the official website. You can also find mine (see the link on my profile) for building the binaries, but don't use my 'first project' tutorials as they are in serious need of improvement.
To build the binaries:
Official - http://sfml-dev.org/tutorials/2.0/compile-with-cmake.php
If Laurent's tutorial leaves anything you are unsure of, you can check out mine:
Text - http://sfmlcoder.wordpress.com/2011/06/16/building-sfml-2-0-with-mingw-make/
Video - http://www.youtube.com/watch?v=U1zN_QRSwxw
To create a project:
Basically, go to Settings -> Compiler and Debugger -> Global Compiler Settings -> Search Directories, and you can add the header file path under the 'Compiler' sub-tab and the library file path under the 'Linker' sub-tab.
Then create an empty project and go to Project -> Build Options. Check "Have g++ follow the coming C++0x ISO C++ language standard [-std=c++0x]" (as SFML uses long long integers, a feature of C++0x/C++11).
Then change the target to 'Debug' on the left hand side, go to 'Linker settings' and use the 'Add' button to add the following entries to the 'Link Libraries' pane:
Finally, change the target to 'Release' on the left and add the following libraries in the same way:
Do this, and see how you go. There are a few subtleties, but do this much (or try, at least) and then ask any further questions you might have.
EDIT EDIT: If you'd like to link SFML statically, feel free to ask how.