I checked the following article:
You may needs to the following steps:
1>Build custom DLL by builder tools with "stdcall" calling convention.
"The Step1: Build custom DLL by builder tools provided by Intel MKL" may provide some help, and the library needs to include C lapack interface 'LAPACKE_dgesv'
2> the function could be called like the following the VB code:
Declare Function LAPACKE_dgesv Lib ”mkl_custom.dll”
( ByVal matrix_order As Integer, ByVal n As Integer ,
ByVal nrhs As Integer, ByVal a As IntPtr,
ByVal lad As Integer, ByVal ipiv As IntPtr,
ByVal b As IntPtr, ByVal ldb As Integer) As Integer