*Boost is not an "ordinary" user-written command, it's a "plugin" (need a special work to load).
*Two important things: 1) your Stata is 32-bit or 64-bit version; 2) remember the location of your downloaded boost32.dll or boost64.dll
*The following procedures go well in Stata 11 MP in my 64-bit computer. Hope it will help you in some way.
capture program drop boost_plugin
program boost_plugin, plugin using("C:\Users\guest1\Documents\boost64.dll")
set more off
set seed 12345678
sysuse auto, clear
gen u=runiform()
sort u
boost foreign price trunk weight, distribution(logistic) trainfraction(0.8) predict(pred) inter(2) shrink(.0005) influence