The error you have posted complains about file libboost_system-vc90-mt-gd-1_37.lib, but in the directory you have only libboost_*file*system-vc90-mt-gd-1_37.lib, right?
Look for libboost_system-vc90-mt-gd-1_37.lib. If you find it, add the corresponding directory to the library search path. If you don't find it, see if you have boost_system-vc90-mt-gd-1_37.lib instead (like I do), and try copying that to the desired filename.
The bjam command line should have built all versions of all libraries. Still, when you build with
bjam --build-dir="C:\Program Files\boost\build-boost" --toolset=msvc --build-type=complete stage
(note the stage at the end) all libraries are copied to a common libs/ folder, so that MSVC's autolinking feature works when you only add this libs/ folder to your library path.
I do not know if bjam without stage still copies all those files to a single folder. If not, execute such a stage build to do this. If they are, well, sorry, configuration seems correct, maybe a minor typing error somewhere?
boost::filesystem is dependent on boost::system, so you need both paths.
Part of the problem is you're using the boost libs out of the build directories instead of the install directory (the boost build process should create both). The install/lib directory has all the libs so you only need to specify one path.
The boost build process builds each library in its own directory. At the end it copies all those .lib files into one common lib directory.
Since you didn't specify an install directory as part of your build command (with --prefix=...), I believe the default is C:\Boost. Check to see if that directory is there and if so use C:\boost\include\ boost-1_37 for your include path and C:\boost\lib for your library path.
Ferruccio's answer contains most of the insight. However, Pukku made me realize my mistake. I am posting my own answer to give a full explanation. As Ferruccio explained, Filesystem relies on two libraries. For me, these are:
I must not have noticed that when I supplied the directory for libboost_filesystem-vc90-mt-gd-1_37.lib, the error output changed from
fatal error LNK1104: cannot open file 'libboost_filesystem-vc90-mt-gd-1_37.lib'
to
fatal error LNK1104: cannot open file 'libboost_system-vc90-mt-gd-1_37.lib'
Causing me to think that the error was persisting. This lead me to post some rather inaccurate information. Also, after reading that Filesystem requires two libraries, I now see the significance of the keyword stage for the bjam command. Supplying
bjam --build-dir="C:\Program Files\boost\build-boost" --toolset=msvc --build-type=complete stage
Causes bjam to place an additional directory, aptly named stage, in the boost_1_37_0 directory. This folder contains a folder named /lib, which has copies of all of the lib files in one place. This is convenient for Visual C++ because you can supply it with this single directory and it will take care of all of the dependencies.
I had this same problem, what you need to do is add the "lib" directory under the top level boost folder to the library path in Visual C++.
This most definitely solved the issue for me.
May I ask what the "gd" in the filename ~-vc90-mt-gd-1_37.lib stands for? Thanks.