<p>What might be the best way to start programming using boost lambda libraries.</p>

Depends. Are you already well versed in functional programming concepts? If not, I'd suggest that you start in a language that is designed for functional programming instead of a procedural language with functional features stapled on. If you aren't used to coding in a functional style (it's not
harder
necessarily, but it's definitely different), then you'll spend more time fighting the syntax and not enough time learning to get stuff done.
As for where to start, I cut my functional teeth on Scheme, but there are plenty of good options.