You unzip the SFML package to some known location. Do not modify anything in these unzipped files, but you do need to find where the folder called 'include' is.
Your individual project that you set up in Visual Studio can be in a completely different part of your file system. Just make a Visual studio project wherever you normally make projects.
Once you create your Visual Studio solution/project, you go to the properties for your project --> Configuration Properties --> VC++ Directories --> Include Directories. Click on the Include Directories row. Then, on the right-hand side of the Include Directories row, click the dropdown menu that appears, and click <Edit...>.
Type or paste the exact path to the 'include' directory inside the unzipped SFML package you downloaded. Then click OK.
For example, C:\my_libraries\SFML-2.5.1\include
I skimmed through the following youtube video.
I think it shows the correct steps, check it out.