I was able to successfully compile and run my code using the MS Visual Studio interface -- both on Debug and Release modes. Curiously, though, when I run the exact same executable from the command line, I receive an error message "The program can't start because mkl_intel_thread.dll is missing from your computer. Try reinstalling the program to fix this problem."
Any clue about what can be going on?
If I remember correctly, the MKL install doesn't add the path to its DLLs to the system PATH environment variable. You need to do that yourself.
Rather than modify the system-wide PATH and risk problems with running applications such as Matlab, which come with their own versions of the MKL DLLs, I suggest that you use a command window configured for use with MKL. Your installation of Parallel Studio or MKL may have created such a command window, and you can look for its shortcut in the Start Menu.