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The fancy installer isn't available for 1.36.0 yet, so tried compiling boost myself. I was getting errors along the lines of:

compile-c-c++ bin.v2\libs\system\build\msvc-8.0express\debug\link-static\runtime-link-static\error_code.obj
error_code.cpp
libs\system\src\error_code.cpp(31) : fatal error C1083: Cannot open include file: 'windows.h': No such file or directory

Problem is VS Express 2005 has a separately installed SDK, and you need to set up envvars from both in order for things to work. I created a batch file with

call "C:\Program Files\Microsoft Visual Studio 8\VC\vcvarsall.bat"
call "C:\Program Files\Microsoft Platform SDK for Windows Server 2003 R2\SetEnv.cmd"

... after which boost seems to be compiling just fine.

Links: Boost 1.36.0 Getting Started and this forum discussion.