Sorry, the question as posed has no answer.
1. Visual Studio is an IDE, not a compiler. If you have a C or Fortran compiler installed and integrated with Visual Studio, please state the name and version of the compiler. Neither MKL nor Visual Studio will work with every one of the numerous compilers available for Windows.
2. MKL is a library package. Other than the example source files that are packed with it, it is not something that you can compile, because the source of MKL is proprietary and you are very unlikely to have the MKL source files.
Therefore, please state your goals more accurately, and then we can try to answer.
You may take a look at this article to see how to use IDE. You may also take a look at the MKL Linker Adviser
https://software.intel.com/en-us/articles/intel-mkl-link-line-advisor to see how to link with MKL.