Vladimir,

It seems that when you're building your application, you are not requesting DLL linking. What's your
command line? I think you need to have either /MD or /MDd option on the command line, or select same
under VS project properties (C/C++ -> Code Generation -> Runtime Library)

The variable that needs to be defined is "BOOST_ALL_DYN_LINK". I actually had /MDd already set. Thanks for pointing me on the right track. Here's the resolution (the nesting represents an included file).

#include <boost/filesystem.hpp>

# include <boost/filesystem/config.hpp>

    //
    // If we're importing code from a dll, then tell auto_link.hpp about it:
    //
    #if defined(BOOST_ALL_DYN_LINK) || defined(BOOST_FILESYSTEM_DYN_LINK)
    # define BOOST_DYN_LINK
    #endif
    //
    // And include the header that does the work:
    //
    #include <boost/config/auto_link.hpp>

/*************************************************

USAGE:
~~~~~~

...
BOOST_DYN_LINK: Optional: when set link to dll rather than static library.

...

BOOST_LIB_PREFIX: "lib" for static libraries otherwise "".

...

*************************************************/

      //
      // select linkage opt:
      //
      #if (defined(_DLL) || defined(_RTLDLL)) && defined(BOOST_DYN_LINK)
      # define BOOST_LIB_PREFIX
      #elif defined(BOOST_DYN_LINK)
      # error "Mixing a dll boost library with a static runtime is a really bad idea..."
      #else
      # define BOOST_LIB_PREFIX "lib"
      #endif

Unlike other build systems, install is not special-cased in Boost.Build, so you can just specify desired properties
when building the 'install' target, e.g.:

.\b2 --build-dir=%BUILD_DIR% architecture=x86 address-model=64 runtime-link=shared threading=multi link=shared variant=debug install

Great! Will give this a try.