How to call on a function found on another file?

You can use header files.

Good practice.

You can create a file called player.h declare all functions that are need by other cpp files in that header file and include it when needed.

player.h

#ifndef PLAYER_H    // To make sure you don't declare the function more than once by including the header multiple times.
#define PLAYER_H

#include "stdafx.h"
#include <SFML/Graphics.hpp>

int playerSprite();

#endif

player.cpp

#include "player.h"  // player.h must be in the current directory. or use relative or absolute path to it. e.g #include "include/player.h"

int playerSprite(){
    sf::Texture Texture;
    if(!Texture.loadFromFile("player.png")){
        return 1;
    }
    sf::Sprite Sprite;
    Sprite.setTexture(Texture);
    return 0;
}

main.cpp

#include "stdafx.h"
#include <SFML/Graphics.hpp>
#include "player.h"            //Here. Again player.h must be in the current directory. or use relative or absolute path to it.

int main()
{
    // ...
    int p = playerSprite();  
    //...

---

Not such a good practice but works for small projects. declare your function in main.cpp

#include "stdafx.h"
#include <SFML/Graphics.hpp>
// #include "player.cpp"


int playerSprite();  // Here

int main()
{
    // ...   
    int p = playerSprite();  
    //...

Small addition to @user995502's answer on how to run the program.

g++ player.cpp main.cpp -o main.out && ./main.out