I was looking into compiling Boost on WinCE about 3 years ago.  The conclusion I came to was that I would need to use STLPort to have any hope of doing this which wasn't really an available option for me at the time.  I'm sorry - I know that is not as concrete an answer as you are looking for, but it's the best I have to offer.

As an aside, something that did build for me (although I didn't use it) was ACE and I think I even built POCO for WinCE.  These are not a substitute for Boost, but I thought I'd mention it in case it would be helpful to you.

Shane