Intel® oneAPI Math Kernel Library
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Integration with Visual Studio

I am evaluation Intel C++ Compiler Professional for Windows. I want to use MKL in a Visual Studio project using Microsoft V++ compiler.

I have installed all components including Visual Studio integration for Visual Studio 2003, 2005, 2008.

Documentation indicates that I should see a dropdown "Intel MKL Project Settings" in Solution Explorer.

I do not see such a dropdown.

I do see a menu item "Intel C++ Compiler Pro" when I right click on a Project in Visual Studio. When I open this menu, I can configure my project to use MKL but I cannot select Visual C++ compiler.

Is this because I downloaded and installed Intel C++ Compiler rather than Intel MKL?

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yes, if you didn't install MKL part of Compiler Pro package, then you will not see this dropdown in Solution Explorer.
the second, I am not aware if that version supports integration with VS 2003. Is that eval or commercial version?