Matlab was unable to locate the mosekopt library file.
Most likely you have forgotten to do
addpath <root>\mosek\<version>\tools\toolbox\14sp3
within MATLAB. Therefore, MATLAB cannot locate the mosekopt mex file. Remember to adapt <root> and <version> to your system.
Normally you will have to do addpath command every time MATLAB is started, however, it can be avoided if the addpath command is added to the file
<matlab>toolbox\local\startup.m
where <matlab> is the MATLAB root directory.
Alternatively the permanent modification of the MATLAB path can be performed using the Matlab menu item
\File\Set Path