Use the Intel MKL Link Line Advisor to determine the libraries and options to specify on your link or compilation line.
The tool is available at http://software.intel.com/en-us/articles/intel-mkl-link-line-advisor.
The Advisor requests information about your system and on how you intend to use Intel MKL (link dynamically or statically, use threaded or sequential mode, etc.). The tool automatically generates the appropriate link line for your application.