Where did you download and extract the package to? The package homepage says that it's a header-only package, so you only need to let Visual find the header files. I haven't used Visual in a while, but a quick google of something like "Visual 6 add header path" should be a good place to start. Take a look at Where does Visual Studio look for C++ header files?.
Quoting from this page:
Within Visual Studio, go to the Project Settings dialog. We want to change the settings for both Debug and Release versions, so under the Settings For field, select "All Configurations". Under the C/C++ Tab, select Preprocessor options.
The package tarball has a directory called boost: you want to add the path of that directory into the Additional include directories box and then #include <boost/numeric/odeint/config.hpp>
in your code.
Update
It appears, then, that you already have the odeint headers installed properly: the file boost/numeric/odeint/config.hpp has a line #include <boost/config.hpp>
, which is what visual must be complaining about; so I guess the package is not standalone. It must need other boost header files installed. I can't find anything in either the package homepage or the package tarball that mentions any dependencies, so I suppose you should try to install boost too. Download version 1.51.0 here, and this is the windows documentation.