I am (almost) constantly having a cold. What can I do to boost my immune system?

Yes you can! Adequate sleep and rest (7-8 hours per night), learn how to relax with yoga or meditation: stress releases cortisol, a hormone for flight or fight that will inhibit your immune system! clean your hands with soap or sanitizing hand cleaners. Don't touch your eyes, nose or mouth after touching things like public elevator buttons and things other people have touched! normal bmi is important too!
Healthy lifestyle. First get tested for allergies. If that's not the issue, the best way to boost your immune system is by a healthy lifestyle. Eat a well-balanced diet, get plenty of sleep and exercise, work hard at achieving and maintaining a healthy weight. Beyond that, supplements such as zinc and echinacia have been helpful to some, but are no substitute for the aforementioned advise.
No magic pill. Many people are looking for some "magic pill" to "boost their immune system". There is no such pill. However, there is a way to boost your immune system, live a healthy lifestyle. Proper diet, proper sleep- wake cycles, healthy environment, proper exercise are the foundation of good health and good immune health. Supplements should be used selectively to supplement a healthy diet.
Allergy test. I am going to guess that your "constant cold" is really a year round allergy. Nasal steroids prescribed by your physician, supplemented by antihistamines over the counter when necessary, are the mainstay of treatment. If this does not work, consult an allergist or an ENT physician who provides allergy testing.