If you've never done development on your Linux machine before, open the Terminal and do this:
sudo apt-get update sudo apt-get install build-essential
The following commands will install the 2.0 version of SFML:
sudo apt-add-repository ppa:sonkun/sfml-stable sudo apt-get update sudo apt-get install libsfml-dev
Make sure you have at least the 2.0 version! The 1.6 stuff is different and we won't use it!
(See http://en.sfml-dev.org/forums/index.php?topic=11338.0 for more info on this distribution.)