Axel,
If you start programming I will advice you to try to use Linux or Cygwin under Windows.
To use LAPACK under Windows need some tricks as under Linux/Cywin it is pretty straight forward.
You can have a look to that other post on the forum:
http://icl.cs.utk.edu/lapack-forum/viewtopic.php?t=164.
Even better, if you have access to a machine with the vendor LAPACK libray or a LINUX distribution that provides the package.
see
http://www.netlib.org/lapack/faq.html#1.1 for more information.
Sincerely
Julie