I tried the example given from the tutorial site and can't seem to figure out what I am doing wrong. I am using VC++ 2010 express and I get an error about 'fatal link error can't open file smfl-graphics-d-2.lib' I configured everything as the tutorial said but still it no go.
Usually Visual Studios and other IDE's does not lie to you ;p
So most likely it can't find the file because you put in a bad path to where the .lib files are, or you are linking wrong (The order in which you link them is important also).
Your best bet is just to create a new project and start over and follow the tutorial to the letter. If you don't understand anything in the tutorial exactly come here and ask a question about it or head to the SFML forums and ask about it.
That is most likely not SFML's fault. It is probably because you didn't install it right... You most likely downloaded one of the prebuilt binary downloads and expected it would work. When instead you should have downloaded the source and compiled your own since SFML doesn't provide a prebuilt binary for dev c++.
So go try downloading the source files and compiling them and it should work for you. Also I really do hope you are talking about Orwell dev c++ and not bloodshed which is ancient and should not be used.
.... You still do have bloodshed dev c++ so it is no surprise that SFML doesn't work since your IDE and compiler are over 10 years old without any updates. I would suggest you find a new IDE and compiler as soon as possible. If you like the look of dev c++ you could go and download the Orwell version which is much more up to date.
But anyways if you want more information on this you can start a thread about it so we don't hijack this one.