STDMETHODIMP CHelloService::ConnectSlot(VARIANT aSubscriber)
{
connect(aSubscriber);
//connect(boost::bind(aSubscriber));
return S_OK;
}

CHelloService::connection_t
CHelloService::connect(signal_t::slot_function_type subscriber)
{
return m_sig.connect(subscriber);
}

How would you make singal slot out of "VARIANT aSubscriber" (which probably wraps some IDispatch* pointing to the stub that communicates with the proxy residing in the Client appartment) ?

What boost::signal does after is just a call of a function/functor provided by the subscriber. Certainly, you can't call this way any client code from within the server.

In the COM environment callbacks are usually implemented as so-called "connection points", and that's what you need: http://msdn.microsoft.com/en-us/library/h7kad5hw(VS.80).aspx