I don't know what IDE you are using, so I will try to help based on what I use; Visual Studio 2012 and Orwell Dev-C++.
Just put the library in a preferred folder and go into the Tools / Options menu, then to Projects and Solutions / VC++ Directories. There you can add your libraries.
Next, open your project's options, then go to the Linker / Input item. In the Additional dependencies row, add the SFML libraries you are using. Example: sfml-system.lib. For the Debug configuration, you can link with the debug versions of the libraries, which have the "-d" suffix (sfml-system-d.lib in this case).
You also have to either include the dll files in your project or you can compile them directly into your project doing so: sfml-system-s.lib in the linker.
For the linker on this one it is under compiler options / compiler tab and there a big box to stuff all your libs. Then under compiler options / directories tab; should be obvious enough what to put into each fields.
Same thing as above for the Linker suffix (-d -s ) and keep in mind to include dll files if necessary.
Also obviously dont forget to include headers and what-not.
Orwell is the new version of Dev-C++ including C++11.
Code::Block (just from looking at it), I can already tell you that there probably is a similar options menu in which my instructions above would work. I would suggest you stick with Code::Block and figure it out, as part of being a developer is to figure shit out. In the work field, there will often be situations with no "how-to" guides available and your boss will expect you to just come up with something.
I didn't mean the actual hg tag, that was bad wording. It's been referred to as SDL 2 and changes towards SDL 2 have been made for a *long* time. SDL2 was once known as SDL 1.3 as well (which is why we still never saw the SDL 1.3 release either). I'm unsure of the how the branching worked looking at their repo though.
I think i skipped some basic computer programming lesson on setting up linkers and libraries, the sfml websites instructions for installing sfml dont work if followed to the latter, I susect theres some gcc4 thing going on only I dont know what it is or what they want