In the next couple of weeks there will be a nuget package that includes the MKL native provider. In the mean time, here are links to them:
http://files.marcuscuda.com/mathnet.native.x86-64.zip - 64bit
http://files.marcuscuda.com/mathnet.native.x86.zip - 32bit
Put the two DLLs in the same directory as your executable and then add
Control.LinearAlgebraProvider = new MathNet.Numerics.Algorithms.LinearAlgebra.Mkl.MklLinearAlgebraProvider();
to your code.
Let me know how it performs.