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
In Visual Studio, right-click on your project, then go to properties and select:
Properties -> Configuration Properties -> Linker
There you add the full path of your library in the tab named "Additional Library Directories".