The mkl_lapacke.h header is for the C interface to LAPACK. That was added in Intel MKL 10.3 which is a part of the Intel Composer XE 2011 product introduced latelast year. I'm afraid that's why you're not finding it it in version 11.1. I'd encourage you to take a look at the latest version, but if notyou'll need to modify this example to call the Fortran interface. To that end the User Guide might help. See the following section:
Language-specific Usage Option
-> Mixed-language Programming with the Intel Math Kernel Library
----> Calling LAPACK, BLAS, and CBLAS Routines from C/C++ Language Environments
through the benevolence of Intel.
Note, in addition, that it is not enough to obtain the header file, which is needed at compile time; you also need the library available at link time.