I tried to build boost in Windows using bjam and I made it without any error (I just compiled the thread library).

the problem came when I included asio.hpp

I think that's because not all thread libraries were installed (just 6 files were installed)

when I did the same in Debian I got just 4 files and also had errors with asio,  but  when  I installed this way:
./configure --with-libraries=thread
sudo make install
instead of bjam, I got 10 files and asio worked perfectly.

I'm not sure but if I need the 10 files as I guess I think that I'm not be able of using asio on Windows, but this is a contradiction because asio like boost is a multi-platform set of libraries.

I'm very confused and I'll be very grateful if you try to help me.