What I can see there - Results   Build log was saved at "file://d:\OPF_2_Novo\Release\BuildLog.htm" OPF_2 - 0 error(s), 31 warning(s). There are references to the mlk's libraries at all.

Your build log doesn't show any references to MKL. What steps have you taken to try to use MKL?

To build Armadillo with Intel MKL, you need to manually edit include/armadillo_bits/config.hpp to make Armadillo to use MKL libraries instead of the standard BLAS and LAPACK libraries. Here's the quote taken from Armadillo documentation:

• How can I use high-speed LAPACK and BLAS replacements (eg. Intel MKL, AMD ACML, OpenBLAS, GotoBLAS, ...) ?
  • Simply link with the replacement library instead of standard LAPACK and BLAS. You may need to make minor modifications to "include/armadillo_bits/config.hpp" in order to make sure Armadillo uses the same style of function names as used by MKL or ACML. For example, the function names might be in capitals.
  • For Linux-based systems the automatic installer can figure out that MKL, ACML or ATLAS are installed, and will use them instead of the standard LAPACK and BLAS libraries. See README.txt within the Armadillo archive for more information.
  • If you're getting unresolved symbols during linking, or the automatic installer can't find your installation of MKL or ACML, install Armadillo manually (see README.txt). Then edit include/armadillo_bits/config.hpp and comment out (ie. disable) ARMA_USE_WRAPPER, and uncomment (ie. enable) ARMA_USE_LAPACK and ARMA_USE_BLAS. When compiling Armadillo based programs, link with the relevant MKL or ACML libraries instead of BLAS and LAPACK.

More information can be found here: http://arma.sourceforge.net/faq.html