I have installed Intel MPI on my Windows machine.
Quoting section 2.2 of FLANN library documentation:
the project that uses FLANN needs to be compiled with a compiler that supports the OpenMP standard and the OpenMP support must be enabled. The number of cores to be used can be selected with the cores in the SearchParams structure. By default a single core will be used. Setting the cores eld to zero will automatically use as many threads as cores available on the machine.
Since I never used neither Intel MPI or OpenMP, I don't know if it's ok to use the first one for this case and what "OpenMP support must be enabled" means.
The Intel MPI is not a compiler. If you're looking for a compiler, try the Intel C++ Compiler or MinGW. OpenMP are integrated with these compilers, you just need to enable them with a switch. For Intel it's /Qopenmp. For GCC (MinGW) it's -fopenmp.