To begin with, set path environment variable as follows:
set PATH="C:\MinGW\bin;C:\MingGW\libexec\gcc\ming32\4.5.2\install-tools;C:\python25;"
the locations of MinGW and python are depending on you setting.
Download source file from the boost homepage and extract the tar ball or zip file into somewhere you want.
Run bootstrap.bat in the boost source directory so that you will have b2.exe and bjam.exe which are boost build program.
bjam toolset=gcc install --prefix="somewhere you want"
That's it and enjoy.
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