GPUmat
GPUmat is a C/C++ GPU engine for Matlab based on NVIDIA CUDA.
...:
You need to download a SVN client and then from command line:
svn export http://svn.code.sf.net/p/gpumat/code/trunk ./GPUmat
the above command creates a folder ./GPUmat with the source code.
Then go to the 'doc' folder, open the GPUmat_Developer_Guide.pdf and
check the chapter "Source code compilation"