The quick answer: the STL and Boost headers do indeed belong in the precompiled header file, even though these header files define template classes.
When generating a precompiled header file, a compiler parses the header text (a significant task!), and converts it into a binary format that is optimised for the compiler's benefit.
Even though the template classes will be instantiated when other .cpp files are compiled, they will be instantiated from information in the precompiled header, which is significantly faster for the compiler to read.
(later addition)
One thing that you should (not)
include in a precompiled header are files that are part of your project and are changed frequently, even if every single .CPP file includes these files.
The reason is this - the generation of the precompiled header can take a long time, because the boost, stl and windows libraries are very large.
You might have a simple file (eg "StringDefs.h") that everything uses. If StringDefs.h is included in stdafx.h, and one developer touches StringDefs.h, then every developer has to wait until the entire precompiled header recompiles. It would be much faster if StringDefs.h was left out of the precompiled header, and parsed along with each .CPP file.
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