These are the install instructions for Intel MKL.  Intel MKL is not free (last
  time I checked); a developer license costs several hundred dollars (however, you
  may be able to redistribute the programs you create with it, for free).  Once you
  buy Intel MKL and follow its own install instructions, there are two things you
  have to do:
  
  Firstly, edit the file ../kaldiwin_mkl.props to replace
  c:\Program Files\Intel\MKL\10.2.5.035
  with whatever directory you actually installed MKL in.
  
  Next, you have to make sure the Intel directory where the math dlls are is on the
  path, when you run the programs created.  The way I did this is to go to start ->
  computer [right-click] -> properties -> advanced system settings [Advanced
  tab]->Environment Variables-> in the System Variables box, locate the Path
  variable, double-click to edit, and append ";C:\Program
  Files\Intel\MKL\10.2.5.035\ia32\bin" to the string.  Of course, this will depend
  on where you actually installed MKL.  If you want to use the 64-bit version, you
  would change this to ia64 and change 32 to 64 in the file kaldiwin_mkl.props
  (note: kaldiwin_mkl.props just gets copied to kaldiwin.props which is the one
  that is actually used, so be sure to copy it after you edit it).
  
  to get these compiled programs to run from cygwin, you would do something
  like:
  export PATH=$PATH:/cygdrive/c/Program\ Files/Intel/MKL/10.2.5.035/ia32/bin/