Could you please tell some information, like OS, mkl version, language, compiler etc how you build the mkl example etc?
Here is some MKL tutorial and sample code at https://software.intel.com/en-us/product-code-samples, you may run them first and let us know if any problem
Did you install MKL on your machine? If no, you can get MKL from MKL offical website: https://software.intel.com/en-us/intel-mkl/ => right box or from https://software.intel.com/en-us/intel-parallel-studio-xe/try-buy
After register, you will receive email, which include MKL install package download link. Once you install MKL , you will see the documentation, header file, example code, mkl libaries etc under install directory, for example, C:\Program Files (x86)\IntelSWTools\compilers_and_libraries_2017.1.143\windows\mkl or /opt/intel/mkl.