[boost] [newbie] using non "header-only" boost libraries, but not linking the ".lib"

I'm using filesystem library. I'm using it under vs2005 on windows, and g++ on mac. Instead of linking the .lib I'd like to include the source files of the fs library in my project. I tried to include all the ".cpp" under the filesystem/src directory in the vs2005 project. But the linker still ask for the lib. As far as know I didn't mention the .lib in the project. Why is that? The project files are created using cmake.