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
Not all Boost libraries are header only, Boost.System is one of them. The documentation for Boost.Asio tells you that it depends on Boost.System.
With Visual Studio, the Boost libraries use auto-linking, which means you don't have to explicitly link to the libraries you need. You however need to have the necessary libraries in the library search path, either globally or per-project.
If you don't want to build the Boost libraries yourself, you can use the installers provided by boostpro (only up to Boost 1.42 though at the moment). If you want to build them yourself instead, the documentation covers that well.