Boost is so good a thing for c++ developer. Although have not try it yet, but just have a little look, that I can not wait to try it .
now let me setup it.
1. get the source from http://www.boost.org/ . the source code should be build with a bjam thing, you can download the bjam execute from the site also, or just generate it from the soure code , which I think is better.
2. build jam.
come to tools/build/jam_src in dos command console, and run build.bat, you can get the bjam.exe in tools/build/jam_src/bin.ntx86 (ofcourse, you are using window :) ), and copy it to source code root;
3. compile boost
before this, ensure that tha Python has been set up, and the bin of Python should be set in the environment variable PATH.
then cd to the root of boost source code, and run the following command:
first you can get boost command with: bjam -help
then you can get all of the libs by :
bjam stage --toolset=msvc-9.0 " complete
then all the libs are in the new folder stage.
Referred article: http://www.cnblogs.com/finallyliuyu/archive/2010/08/23/1806811.html
4. Enjoy it.
Set the include and libraries path to VS project seting and enjoy it.