I thought this might be useful to some of the new users. I installed a new version of my fortran compiler because the one I had would not compile cosmomc (compiler error...).
After not understanding for a while why things still would not compile I realized that I also had to install some intel mathematical kernel. In case you are having the same problem, it can be found at http://www.intel.com/software/products/mkl/
CosmoMC: compiling with Intel mkl
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