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You can certainly create GUIs in F# - it's just another .NET language, after all.
Tomas Petricek's book, Functional Programming for the Real World (which I've helped out with a little bit) has various GUI examples. The source code is available to download if you want to see examples.
Admittedly some aspects of GUI programming don't map terribly well to a functional style, as there's a lot of mutation involved, but there are ways and means around that :)
We sell a commercial library called F# for Visualization that is written in 100% F# code and uses WPF to provide interactive graphics with typeset mathematics from your F# code:

(source: ffconsultancy.com)
So it is certainly possible to write GUI apps in F# using WPF.