If eboot is the part of BSP build tree (by default eboot is the part of the BSP build tree) then it will get build while building the BSP and creates boot loader (eboot.nb0) in “WINCE600\OSDesigns\...\...\” for respective folder of Debug and Retail build.
As all part of the BSP can be build individually and create corresponding binary file, Bootloader also can be build individually using solution explorer.