My problem with Visual Studio is that it trys to hold your hand too much and it doesn't allow you to make mistakes or learn how to link to external\3rd party libs without considerable effort on your part.
Show us what you have so far, tell us what you are expecting and what you are getting. We'll try to help more from there.
I started out with Dev-C++ but soon upgraded to wxDev-C++. It's pretty much the same setup, but is actually managed (to a degree) by the staff. I like the way Code::Blocks is set up, but couldn't get it to compile or build the project to save my life.
I think I had the same problem with Code::Blocks not even 2 hours ago. I had to reinstall MinGW (which by the way you don't want to use 4.4 with SFML) and then start up Code::Blocks and go to Settings -> Compiler and Debugger; and in the top rightish corner there is a button that says "Reset defaults" click that and Code::Blocks will redetect MinGW.
i have downloaded microsoft visual c++ 2010 express edition. and i like it but i didnt see compile i only saw debug but when i clicked it it did the same thing i think but it kept saying it couldnt run brcause it was missing an exe file to debug it. idk...