I don't have Express installed (I've got the Professional version) but I think the answer to your question is that you want to add the appropriate include directories to your INCLUDE and LIBPATH environmental variables.
If you registered the environmental variables with the system then you can goto "My Computer", right-click, Properties, Advanced tab, Environmental Variables button. You should see the two variables in the lower portion of the dialog - though they may be in the upper as well.
Alternatively, you can edit the "vcvars32.bat" file that is called when you open the "Visual Studio 2005 Command Prompt" to insert the appropriate entries for these two values.
Here's a link from this forum from about a year ago:
http://thread.gmane.org/gmane.comp.lib.boost.user/17574/focus=17576
Combined with the replies to it should clear up your questions and get you on your way.
HTH,
- Chris
"Ovanes Markarian"