Ok, here's my entire script. As mentioned in the comments it works fine if
size=5e5. It also runs fine if size=5e6, but then the resulting file is
corrupt (i.e. cannot be gunzipped with the gzip utility). Try it out. I'm
using Visual Studio 2008 in a Windows XP machine.

#include <boost/iostreams/device/file.hpp>
#include <boost/iostreams/filter/gzip.hpp>
#include <boost/iostreams/filtering_stream.hpp>

using namespace std;
namespace io = boost::iostreams;

int main()
{
   //Set filename
   string outfile = "c:/outfile.bin.gz";

   //Set filesize
   int size = int(5e6); // <- If I change this to '5e5' instead of '5e6',
everything works just fine.

   //Declare memory block to be compressed to file
   char* memblock = new char [size];

   //Create a filtering_ostream out
   io::filtering_ostream out;

    //Assigns the gzip_compressor to out
   out.push(io::gzip_compressor());

    //Assigns out as a file sink
   out.push(io::file_sink(outfile));

   //Write memblock to out
   out.write(memblock, size);

   //Clean up
   delete[] memblock;
   io::close(out); //Note, also tried 'out.close();', 'io::close(out,
ios_base::out);' and 'close(out);'. Same result.

   return 0;
}

Works just fine on linux gcc 4.3.2 boost 1.45. with 5e5, 5e6 and 5e7 size.
As a guess, I'd delete memblock after closing the out to be on a safe side, maybe it helps.

-- Slava

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