Are you sure, that your paths are correct? It looks to me, that you didn't add the boost directory (that contains the headers) to your include paths. So look where "boost\function.hpp" is located on your system and add this directory (the one that contains the "boost" subdirectory) to your include paths. It's a long time ago, since I last worked with VC6, but you should find these paths-settings somewhere under the menu Options/Projects/Directories/Include, or something similar.
Oh, and you should also add
And change the "s" (first parameter of 'regex_match') to "str". After doing so, the program worked fine for me. And don't forget to link against the boost regex library.