I'm a big fan of the boost library for C++ development. They're incredibly well designed and implemented, generally cross-platform, and quite well documented. In short, they're awesome.
However, I regularly have issues building them (on Windows with the VS2005 compiler). Thankfully I'm not alone. Kevin Heifner ran into the same problems I did when trying to build the recently released 1.35 and documented a work-around. Thanks Kevin! It worked a treat.
The summary is that the Boost Consulting group, who usually put together a nice installer, haven't yet published one for 1.35. Further, following the instructions on the Getting Started page that describe how to build boost led me astray. With hindsight I think the major problem was that the "stage" directory mentioned in the example needs to be created before the build commences. Anyway, Kevin provides an alternative set of command line options for bjam:
cd "C:\Program Files\boost\boost_1_35_0"
bjam --toolset=msvc --build-type=complete --prefix="c:\program files\boost\boost_1_35_0" install
Then just configure your projects Additional Library Directories to include "C:\Program Files\boost\boost_1_35_0\lib".