Ich habe nun vieles mit dem Text getestet ... aber egal wo und wie ich das gemacht hatte wurde neben meinen Punktestand immer wieder der neue daneben hingepackt ...
Wo muss das hin?

#include <SFML/Graphics.hpp>
#include "engine.h"
#pragma comment(linker, "/SUBSYSTEM:windows /ENTRY:mainCRTStartup")

using namespace sf;

int main()
{
    RenderWindow window(VideoMode(800, 450), "Rocket");
	window.setFramerateLimit(60);

	engine Rocket("rocket.png");

    while (window.isOpen())
    {
        Event event;
        while (window.pollEvent(event))
        {
            if (event.type == Event::Closed)
                window.close();
			if(Keyboard::isKeyPressed(Keyboard::Escape))
				window.close();
        }

        window.clear(Color(255,255,255));
		Rocket.Move(window);
		Rocket.Point(window);
		Rocket.Render(window);
        window.display();
    }

    return 0;
}

#include <SFML\Graphics.hpp>
#include <sstream>

using namespace sf;

class engine
{
private:
	RectangleShape player;
	RectangleShape hit;

	int box_x, width;
	int box_y, height;

	int punkte;

	Font arial;
	Text pp;
	std::stringstream ss;

public:
	void Render(RenderWindow &Window);
	void Move(RenderWindow &Window);
	void Point(RenderWindow &Window);
	engine (String tex);
};

#include "engine.h"

using namespace sf;

engine::engine(String tex)
{
	player.setSize(Vector2f(40,40));
	player.setOrigin(20,20);
	player.setFillColor(Color::Red);
	player.setPosition(400,225);

	hit.setSize(Vector2f(20,20));
	hit.setOrigin(10,10);
	hit.setFillColor(Color::Green);
	hit.setPosition(400,225);

	punkte = -1;
	ss << "Punkte: " << punkte;

	arial.loadFromFile("arial.ttf");
	pp.setFont(arial);
	pp.setStyle(Text::Bold);
	pp.setColor(Color::Black);
	pp.setPosition(5,5);
	pp.setCharacterSize(20);
	pp.setString(ss.str());

	width = 780;
	height = 430;
}

void engine::Render(RenderWindow &Window)
{
	Window.draw(player);
	Window.draw(hit);
	Window.draw(pp);
}

void engine::Point(RenderWindow &Window)
{
	if(player.getGlobalBounds().intersects(hit.getGlobalBounds()))
	{
		box_x = 10 + rand() % width;
		box_y = 10 + rand() % height;

		hit.setPosition(box_x,box_y);

		punkte++;	
	}
}

void engine::Move(RenderWindow &Window)
{
	if(player.getPosition().x < 0 || player.getPosition().x > 800 || player.getPosition().y < 0 || player.getPosition().y > 450)
	{
		player.setPosition(400,225);

		punkte = punkte -5;
	}

	if(Keyboard::isKeyPressed(Keyboard::Up))
	{	
		player.move(0,-6);
	}
	if(Keyboard::isKeyPressed(Keyboard::Down))
	{
		player.move(0,6);
	}
	if(Keyboard::isKeyPressed(Keyboard::Left))
	{
		player.move(-6,0);
	}
	if(Keyboard::isKeyPressed(Keyboard::Right))
	{
		player.move(6,0);
	}
}

punkte++;
std::stringstream ss;
ss << "Punkte: " << punkte;
pp.setString(ss.str());

Oder wenn dein Compiler C++11 unterstützt:

punkte++;
pp.setString(std::to_string(punkte));