Don't try to open the WFS vector data with GDAL, use OGR instead (OGR WFS driver). GDAL supports raster data, OGR supports vector. Here's a link to the OGR API tutorial.
Note this answer was correct in 2013. GDAL versions < 2.0 have separate raster (gdal) and vector (ogr) libraries. Now as of GDAL 2x, the raster and vector drivers are integrated into the gdal library and you use GDALOpenEx to open datasets. The ogr library/namespace is still available for backwards compatibility.