step-by-step:
[N: is just some local storage place.  If you do over LAN it will take MUCH longer.]
[The –with-regex below in the bjam line is because that’s all I wanted.  You should adjust to what you need.]
[wget and mv were just me using gnutools.  Do it any way you want.]

--------
Run cmd.exe
N:\>mkdir BoostVS2008
N:\>cd BoostVS2008
N:\BoostVS2008>wget http://downloads.sourceforge.net/boost/boost_1_34_1.zip?modtime=1185241173
N:\BoostVS2008>wget http://downloads.sourceforge.net/boost/boost-jam-3.1.16-1-ntx86.zip
unpack
N:\BoostVS2008>copy boost-jam-3.1.16-1-ntx86\boost-jam-3.1.16-1-ntx86\bjam.exe boost_1_34_1\boost_1_34_1\
N:\BoostVS2008>cd boost_1_34_1\boost_1_34_1\boost\config
N:\BoostVS2008\boost_1_34_1\boost_1_34_1\boost\config>mv auto_link.hpp auto_link.hpp.old
N:\BoostVS2008\boost_1_34_1\boost_1_34_1\boost\config>wget http://svn.boost.org/trac/boost/browser/trunk/boost/config/auto_link.hpp?format=raw
mv auto_link.hpp\?format\=raw auto_link.hpp

Add
using msvc : 9.0 : "N:/Programs/Microsoft Visual Studio 9.0/VC/bin/cl.exe" ;
in user-config.jam files after '# MSVC configuration'
Open 'Visual Studio 2008 Command Prompt'
cd N:\BoostVS2008\boost_1_34_1\boost_1_34_1\
N:\BoostVS2008\boost_1_34_1\boost_1_34_1>bjam --toolset=msvc-9.0 --with-regex stage
Libs are now at N:\BoostVS2008\boost_1_34_1\boost_1_34_1\stage\lib