unzip boost_1_40_0.zip, start cmd.exe (Windows command line) and execute
booststrap.bat from the boost_1_40_0 root directory. This creates bjam.exe.
Running bjam with -d+2 option is a source of useful compiler option
combinations. The bjam has to be run from a directory that has a Jamroot or a
Jamfile.v2 file.
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