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/