Made a new project, added main.cpp and wrote the code at this URL:
http://www.boost.org/doc/libs/1_43_0/doc/html/boost_asio/example/echo/async_tcp_echo_server.cpp
@bogertron: I want to hug you! (:
So, at last, with a real head ache, I've managed to do so.
The exact steps I took, so others will be saved from the head ache:
Went to http://www.boost.org/doc/libs/1_43_0/more/getting_started/windows.html#or-build-binaries-from-source .
Followed the "5.3.1 Get bjam" clause. Downloaded the "pre-built bjam executable for your platform" at this URL: http://sourceforge.net/project/showfiles.php?group_id=7586&package_id=72941 .
Extracted the ZIP file (my platform is Windows).
Ran "build.bat". It produced the file "bin.ntx86/bjam.exe".
Copied this file to my PATH ("...../boost_1_43_0/").
From a command line, executed "bjam.exe" and waited for about 4-5 minutes.
Then got this message at the console: "The Boost C++ Libraries were successfully built!"
That's it, it even tells you where the include & lib files are.