A mex file on Windows is just a DLL that exports a function named mexFunction
. In principle you can compile mex files with any compiler that can create Windows DLLs.
However, to do so using the mex function in MATLAB requires that MATLAB knows about your compiler. And by default MATLAB only has knowledge of a limited number of compilers. Your chosen compiler is not one of them.
Bloodshed is based on mingw. Which means that you should be able to use the Gnumex project to create a mexopts.bat file for use with your compiler.
However, I would be a little sceptical of using Bloodshed here. It is a C++ IDE and I'm not sure you particular need that. I suspect that all you are looking for is a compiler. In which case you would likely be best served by installing plain mingw.