I know that Visual Studio Pro will allow you to compile mex files for MATLAB 2014b. 

However I was wondering if anyone was able to use Visual Studio Express (which is free, as opposed to Pro which is not) to compile mex files? I tried the Windows SDK (recommended by mathworks), with no success. 

Update: This is the error I get:
A problem occurred while installing selected Windows SDK components. Installation of the "Microsoft Windows SDK for Windows 7" product has reported the following error: Please refer to Samples\Setup\HTML\ConfigDetails.htm

Only I can't find that file. 

Details:

Windows 7

MATLAB 2014b

Things I Did So Far: 

SDK 7.1, I tried installing this not sure if it did not install correctly or was not actually a solution (from here: <http://www.mathworks.com/support/compilers/R2014b/index.html>)

Download the 30 day trial of Visual Studio Pro which is working