SFGUI How do I CMAKE?

So far, I've never been able to successfully use CMAKE.
I tried it with SFML and now SFGUI.
And I put in a lot of time trying to get it to work.

Feels kind of hackish to depend on pre-built builds of these libraries if that isn't the way it is
supposed to be done.

But, here are builds of SFGUI that I need:
https://www.nightlybuilds.ch/compiler/show/10/TDM-481-32/