BLAS and LAPACK are the de facto libraries for linear algebra. For those interested in using BLAS and LAPACK on Windows platform, I have compiled them in 32bit and 64bit libraries by Intel® Fortran Compiler XE 13.1 and Visual Studio 2010.
The 32bit BLAS and LAPACK libraries downloading:
The 64bit BLAS and LAPACK libraries downloading:
The modified Windows makefile can be downloaded from here:
Thanks David Svoboda for the original LAPACK Windows version.
Thanks Conrad Sanderson for the "/QaxSSSE3" suggestion, and the wonderful Armadillo C++ linear algebra library!