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So, i have Win XP 64bit edition, Qt-4.6 beta 1, boost_1_40_0, CGAL 3.5, MinGW
gcc-4.4 and Visual Studio 2008.
I performed installation according to this manual
http://acg.cs.tau.ac.il/cgal-at-tau/installing-cgal-and-related-programs-on-windows.
Boost was compiled with Visual Studio 2008 as described in the manual.
But i got the error while configuring with cmake-gui (full log):

CGAL_MAJOR_VERSION=3
CGAL_MINOR_VERSION=5
CGAL_BUILD_VERSION=
CGAL_SONAME_VERSION=4
CGAL_SOVERSION     =4.0.0
CGAL_REFERENCE_CACHE_DIR=
Building static libraries
Targetting MinGW Makefiles
Using c:/devel/MinGW/bin/g++.exe compiler.
USING CMake version: 2.6.4
System: Windows
USING GCC_VERSION = '4.4.1'
Using gcc version 4 or later. Adding -frounding-math
Build type: Release
USING CXXFLAGS = ' -frounding-math -O3 -DNDEBUG'
USING LDFLAGS = ' '
Could NOT find GMP
Could NOT find MPFR
CMake Error at cmake/modules/FindBoost.cmake:885 (message):
  Unable to find the requested Boost libraries.

  Boost version: 1.40.0

  Boost include path: C:/devel/tools/boost_1_40_0

  The following Boost libraries could not be found:

          boost_thread

  No Boost libraries were found.  You may need to set Boost_LIBRARYDIR to the
  directory containing Boost libraries or BOOST_ROOT to the location of
  Boost.
Call Stack (most recent call first):
  cmake/modules/CGAL_SetupBoost.cmake:12 (find_package)
  cmake/modules/CGAL_SetupDependencies.cmake:17 (include)
  CMakeLists.txt:220 (include)


Boost include:     C:/devel/tools/boost_1_40_0
Boost libraries:   
Boost definitions: 
USING BOOST_VERSION = '1.40.0'
CMAKE_INSTALL_PREFIX=C:/Program Files (x86)/CGAL
CGAL_Core needs GMP, cannot be configured.
Could NOT find ZLIB  (missing:  ZLIB_LIBRARY ZLIB_INCLUDE_DIR)
OpenGL include:     
OpenGL libraries:   glu32;opengl32
NOTICE: CGAL_ImageIO needs ZLib to read compressed files. That feature will 
not
be activated.
CGAL_Qt3 needs Qt3, cannot be configured.
USING QT4_VERSION = '4.6.0'
OpenGL include:     
OpenGL libraries:   glu32;opengl32
OpenGL definitions: 
Qt4 include:        C:/devel/Qt/4.6.0-beta1/include
Qt4 libraries:     
optimized;C:/devel/Qt/4.6.0-beta1/lib/libqtmain.a;debug;C:/devel/Qt/4.6.0-beta1/lib/libqtmaind.a;optimized;C:/devel/Qt/4.6.0-beta1/lib/libQtOpenGL4.a;debug;C:/devel/Qt/4.6.0-beta1/lib/libQtOpenGLd4.a;-lopengl32
-lglu32 -lgdi32
-luser32;optimized;C:/devel/Qt/4.6.0-beta1/lib/libQtGui4.a;debug;C:/devel/Qt/4.6.0-beta1/lib/libQtGuid4.a;imm32;winmm;optimized;C:/devel/Qt/4.6.0-beta1/lib/libQtCore4.a;debug;C:/devel/Qt/4.6.0-beta1/lib/libQtCored4.a;ws2_32
Qt4 definitions:    -DQT_DLL
moc executable:     C:/devel/Qt/4.6.0-beta1/bin/moc.exe
uic executable:     C:/devel/Qt/4.6.0-beta1/bin/uic.exe
Configuring incomplete, errors occurred!

Also i tried to set BOOST_ROOT (Add Entry -> BOOST_ROOT ->
C:/devel/tools/boost_1_40_0), but got the same error:

CMake Error at cmake/modules/FindBoost.cmake:885 (message):
  Unable to find the requested Boost libraries.
  Boost version: 1.40.0
  Boost include path: C:/devel/tools/boost_1_40_0
  The following Boost libraries could not be found:
          boost_thread
  No Boost libraries were found.  You may need to set Boost_LIBRARYDIR to the
  directory containing Boost libraries or BOOST_ROOT to the location of
  Boost.
Call Stack (most recent call first):
  cmake/modules/CGAL_SetupBoost.cmake:12 (find_package)
  cmake/modules/CGAL_SetupDependencies.cmake:17 (include)
  CMakeLists.txt:220 (include)

PS
I have 
boost_thread-vc90-mt-1_40.lib and 
boost_thread-vc90-mt-gd-1_40.lib files in 
c:\devel\tools\boost_1_40_0\lib\Debug
and 
libboost_thread-vc90-mt-1_40.lib 
libboost_thread-vc90-mt-gd-1_40.lib 
libboost_thread-vc90-mt-s-1_40.lib 
libboost_thread-vc90-mt-sgd-1_40.lib files in
c:\devel\tools\boost_1_40_0\lib\Release.
Setting variable 
Boost_THREAD_LIBRARY_DEBUG to
c:\devel\tools\boost_1_40_0\lib\Debug\boost_thread-vc90-mt-1_40.lib and 
Boost_THREAD_LIBRARY_RELEASE to
c:\devel\tools\boost_1_40_0\lib\Release\libboost_thread-vc90-mt-1_40.lib does
not solve problem.

How can i fix it?