My answer comes quite late, but I hope it will be of use for other people. In fact the arborescence has changed in an update
for instance in my case with Anaconda

in the 1.67 version , python.hpp is in \anaconda3\envs\myenv\Library\include\boost
in newer version (tested with 1.73) ,  python.hpp is in \anaconda3\envs\myenv\Library\include\boost\python which prevents it from encountering it

You can either modify the path referencing these files or install the version that works
I've tried conda install -c anaconda boost and I get the error fatal error C1083: Cannot open include file: 'boost/python.hpp': No such file or directory. I've added the boost download to the system and user paths, I've followed the direction on how to install boost python on Windows. What am I missing? What else can I do? I get the same error regardless of what I try.
How to install boost python on anaconda with windows 10