How do I add this reference to MKL library ?

You can either identify the folder containing the MKL DLLs and add it to the system PATH environment variable, or link to the static library form of MKL. Please ask in the MKL forum for help with this.

Steve Lionel recommended this, but I don't know to do it,

any suggestions or examples ? ?

Apparently, that QMKL option is not enough for it to work.