I followed the steps from Chris with the addition of the instructions for the compiler http://www.mathworks.com/support/solutions/en/data/1-6IJJ3L/?solution=1-6IJJ3L
The code is however not working properly.
The face is not even found correctly in the Lena image. I was hoping for a correct implementation to try my own built cascades in Matlab. Perhaps there is a quick fix to this problem. I guess the face detector is supposed to work if the MEX function is implemented correctly. There is nothing wrong with the cascade itself.
I will look into this. If someone finds a fix, please let me know.