For the header file only Boost classes (which is most of them), all you ned to do is to add the base of the Boost inclide directory to your project's include path. The directory will be called something like boost_1_37_0. You can then say things like:
#include <boost/shared_ptr.hpp>
For the Boost facilitioes that acually require compiled libraries, you might want to take a look at http://nuwen.net/mingw.html which provides a complete MinGW environmemt including Boost and some other useful stuff.
