Visual C# (Windows) Guide
SFML Graphics: Interacting With The Canvas

Add a method like this to your Canvas class.

 
        protected override void OnMouseClick(MouseEventArgs e)
        {
            for (int i=0;i<Shapes.Count;i++)
            {
                if (Shapes[i].GetGlobalBounds().Contains(
                    new Vector2f((float)e.X, (float)e.Y)))
                {                   
                    MessageBox.Show("Clicked on a shape: " + i.ToString());
                }
            }
        }

This is the basic principle behind knowing what you clicked on. It finds the index in the list of the shape that has been clicked. You are going to need more logic in your applications than you see here and you are not going to be using a MessageBox. In essence, you override a mouse event and perform a linear search through the items that you have drawn. You can return from the event handler once you have found the item.