How to setup mex for Matlab

Hi,

I am trying to run the Deep Learning Framework on Matlab and the instructions are unfortunately, confusing for a newbie like me.

I am supposed to "Install MATLAB, and make sure that its mex is in your $PATH"

1) What is mex and how do i make sure that 'its' mex is in my $PATH ? I have done a bit of searching on google and it turns out that mex allows Matlab to read code written in C/C++ ? I have also tried to use the cmd line in matlab to setup mex but it says "No supported compiler or SDK was found."

2) Do I need to install visual studio for this ?