I did what Jorge suggested and it works. But you need to do more than what is written in his answer. By the way the solution works for all arduino types. I will rewrite Jorge's answer with a few additions:
1) First of all close MATLAB.
2) For arduino uno find the file C:\MATLAB\Targets\R2012b\arduinouno\registry\defarduinogmake.mkt
For arduino nano find the file C:\MATLAB\Targets\R2012b\arduinonano\registry\defarduinogmake.mkt
For arduino mega2560 find the file C:\MATLAB\Targets\R2012b\arduinomega2560\registry\defarduinogmake.mkt
3) Add the following line to the top of the file, right below the header: SHELL=C:/Windows/System32/cmd.exe
The end of the header is where the lines with "#" ends.
By the way the file is read-only. You can edit the file by copying it to desktop for example. Then delete the one at the original location and copy the edited file back to that location.
4) After you do all these restart MATLAB and execute "rehash toolboxcache".
That's all. You're done.