I'll say it again and then I'll "Elvis Has Left The Building".
Step Zero: Make sure git is installed. I seriously suggest getting the "git for Windows" package, it integrates into the Windows/File Explorer shell quite well, adding some right-click menu shortcuts. Git For Windows has a GUI client, and a Bash clone.
Step One: Follow the instructions for getting and installing vcpkg here.
DO NOT install it on the frinkkin' Desktop. Create a simple directory off the drive's root. C:\libs for example.
What is not explained well is that when cloing a github repository git will create a new directory inside the directory your command prompt is currently seated on. If you started your command prompt at C:\libs the git clone command will create a sub-dir C:\libs\vcpkg.
This is normal, this is what should happen.
DO integrate vcpkg into Visual Studio. With vcpkg integrated the IDE acts as if any vcpkg you install as being native to the IDE. No need to add directory locations.
After successfully installing and integrating vcpkg you can now download SFML. I really recommend the following command:
vcpkg install smfl:x64-windows sfml:x64-windows-static sfml:x86-windows
That installs three different versions of the SMFL package. x86, x64 and an extra x64 static version so your app shouldn't require any SFML DLLs.
Doing this install takes about 20-30 minutes. Start the install and let the computer do the magic.