When you have a project: Your project has .cpp files and .h files. Your project also links to .dll files and .a files and #includes .h files of other projects / libraries.
Do you already have your project up and running and compiling already and already using SFML, without being able to load maps? If not, that's step one before you try loading maps.
This part of C++, where you get other projects to interact with your own, can be confusing and take alot of patience and trial-and-error, so no, it's not a stupid question, but it can be a hassle you'll have to fight through by perseverance. Every project I want my code to work with is slightly different, and figuring out how to compile them or make them play nice with my code is always a little bit of a hassle. You can download precompiled versions... but those can be hassles also, for a dozen different reasons.
Because of this, you cannot be given a three, five, or even ten-step tutorial that will universally work. It'd be more like a giant flowchart of "Is your project X? Are you trying to use Y? Are you compiling with Z? Do you have Q enabled? Does the library also have Q enabled? Do you want to use it as N or as M? Did the project..." and so on. It always takes trail and error, and ain't fun, but you'll get used to it eventually.
Sorry for not being able to give you a pleasant answer! It's my least-favorite part of programming.
But programming in general is fun, so don't get discouraged by the unfun parts!
Also, this specific bit of hassle becomes less of a pain once you become familiar with how to work through the problems as they arise.
Probably the easiest option, in this one specific case, for this one specific circumstance, is to copy the library's .cpp files that are in the 'src' folder (only the ones in the 'src' folder, not the .cpp files outside of it), into your own project's .cpp files, and copy the project's .h files that are in the 'include' folder and paste those with your own .h files, and then tell your specific IDE, in whatever specific way your IDE does it, to count those .cpp files and those .h files as part of your project.
That's part A, which may have all kinds of compile issues and stuff that you'll need to work through in a manner completely unique to your specific situation.
Part B would be linking to zlib, which is a different set of ifs, whens, and maybes, and a different set of potential compiler errors and unique setup that differs from person to person.
So I guess back to the first question: Does your project already compile fine and run fine using just SFML, without loading maps?