Take a look at the windows section of the readme here: https://github.com/fommil/netlib-java
Windows
The native_system builds expect to find libblas3.dll and liblapack3.dll on the %PATH% (or current working directory). Besides vendor-supplied implementations, OpenBLAS provide generically tuned binaries, and it is possible to build ATLAS.>
Use Dependency Walker to help resolve any problems such as: UnsatisfiedLinkError (Can't find dependent libraries).
NOTE: OpenBLAS doesn't provide separate libraries so you will have to customise the build or copy the binary into both libblas3.dll and liblapack3.dll whilst also obtaining a copy of libgfortran-1-3.dll, libquadmath-0.dll and libgcc_s_seh-1.dll from MinGW.
I should add you can also just set these JVM properties; it will be slower, but it will guaranteed to work:
-Dcom.github.fommil.netlib.BLAS=com.github.fommil.netlib.F2jBLAS
-Dcom.github.fommil.netlib.LAPACK=com.github.fommil.netlib.F2jLAPACK
-Dcom.github.fommil.netlib.ARPACK=com.github.fommil.netlib.F2jARPACK
I should probably add an FAQ to Breeze.