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:
    #  define BOOST_DYN_LINK
    // And include the header that does the work:
    #include <boost/config/auto_link.hpp>


      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..."
      #  define BOOST_LIB_PREFIX "lib"
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.