Yep, sfml really beats sdl over certain things like it user opengl rather than sdl's a little slower software implementation(there are benchmarks at sfml forum) , moreover it is a c++ based library and really good for beginners to start with graphics.(though it is arguable that sfml is far too easy and does so much for you that it devoids a learning curve over low level memory management etc.) and for experienced programmers to quickly make up a graphical program or something else as opengl may be a little overkill for such simple tasks.
The biggest disadvantage of sfml over sdl is that sdl is more portable and runs on many devices , OSes (though there are many unofficial ports of sfml to platforms like android).
SFML's documentation is fantastic, it's very organized and clear. I also like how the tutorials are done. They explain everything nicely and are broken down enough that you don't have to read through pages just to figure how how to do just one thing.
How can you not install it? All you have to do is download it, point the compiler's include directory to where you put the headers, then in the linker line for whatever build-system your are using is link the .lib files and copy the dlls into the same directory as your executable.
If you're on linux, all you have to do is copy the /include and /lib directory to /usr/local, and you're done.
After the update it should be easy as heck to install it.
Jump into our this IRC Channel sometime tonight if you get a chance and I will walk your through it. If worst comes to worse I can remote access your computer (If you will let me) and install it for you ;p