although you should put the variable into a managed pointer on it’s creation to do it from an existing pointer.
int *a=new int;
boost::shared_ptr<int> a_ptr(a);
That said you most definitely do not want to be putting stack variables into shared_ptr BAD THINGS WILL HAPPEN
If for some reason a function takes shared_ptr and you only have a stack varaible you are better off doing this:
int a=9;
boost::shared_ptr<int> a_ptr=boost::make_shared(a);
See here:
http://www.boost.org/doc/libs/1_43_0/libs/smart_ptr/make_shared.html
also it is worth noting that shared_ptr is in the c++11 standard if you are able using that. You can use auto in combination with make_shared like Herb Sutter notes in the build talk.
#include <memory>
int a=9;
auto a_ptr=std::make_shared(9);