[SFML] How do I start making games?

http://lmgtfy.com/?q=sfml+game+tutorial

I've read through SFML's documentation, I've tried a bunch of ways to make pong and other games, but nothing works !!!! Are there any tutorials that start helping you learn how to make actual games? I need a book on object oriented design, I have no idea what objects to have or what member functions they need, what they should be named, their variables, etc.

That's really the hard part of programming - once you know how to write code, figuring out what to write (software architectural engineering-wise, I don't mean game design).
A book on Object Oriented Design, while definitely beneficial to you in an unrelated way, isn't actually what you need. What you actually need is your 10,000 hours. Supposedly (!) 10,000 hours of actual doing (and not just learning) is what's required to really master a subject. Regardless of whether that's true or not, it is absolutely true that you will grow and learn through practice.

To begin with:
Do you understand basic programming (control statements and loops, functions, variables, etc...)?
Do you understand the basic game loop? ([size=2]Here's a good article on it- it uses a different API, but don't switch to it. Just learn how what the article is talking about doesn't depend on the API and the choice of API in that case was just coincidental)

Once you understand those things, then what you need most is no longer a book*, but actually completing multiple projects. You need to get a small goal, and see them through to completion.

*[size=2]But more reading always helps you in other ways, so I'm not saying stop reading! I'm just saying you have to have actual practice as well. I'm also not saying that control statements, functions, and variables is all there is in programming - there's still alot more to learn, but those three get you off to a good start and form the foundation of programming.

If a book or article or tutorial told you exactly what variables to make, what classes to place, and how to tie it together, you'll just be learning how to type in someone else's code, and not how to program yourself.

Make Tic-Tac-Toe. Seriously! It'll help. Make sure it detects who wins and who loses.
Then make Tic-Tac-Toe again, but cleaner, nicer: using what you learned from the first time to make the same game, but with better code.
Then how about Tetris? Pieces moving on their own, collision detection, etc... it's slightly more advanced.

There's no set path of what to make next or what books are required reading, but the general path is, for most disciplines: Theoretical knowledge gained through acquiring second hand knowledge from others (books, tutorials, articles, schools, or apprenticeships), coupled with Experiential knowledge gained through actually applying what you know, and figuring it out (and making mistakes but learning from them) when your theoretical knowledge is missing in areas.

Learning ([size=2]2nd hand knowledge) with Doing ([size=2]1st hand knowledge).

My opinion (which may be wrong), is that your current absorption is unbalanced in favor of learning, and that you'd benefit greatly from more actual doing. Does that make sense, or am I greatly missing the mark?

Do you understand the basic game loop? (Here's a good article on it- it uses a different API, but don't switch to it. Just learn how what the article is talking about doesn't depend on the API and the choice of API in that case was just coincidental)

That was very useful thank you

Try Game Coding Complete book. It gives you a good generalist view of how to "think" the various parts of your game project.