Hi Dave,
You must have Microsoft R Open installed to be able to install MKL. MKL installer will not work with regular CRAN R.
Also, there is a custom version of the MKL available for each version of Microsoft R Open (or previously RRO),
If you have M R Open 3.2.3 installed, then you can install the associated version of MKL from the download page. During installation of MKL for MRO 3.2.3, the setup screen has an option at the top "Use an MRO path detected by installer". Can you choose that option? If none is detected, then you need to provide the path to where you installed Microsoft R Open 3.2.3.
The instructions for RRO 3.2.2 are slightly different.
Thanks,
Josée