add comment about windows

Author: azai91

Makefile

@@ -131,7 +131,8 @@ ifeq ($(USE_MKLDNN), 1)
 		CFLAGS += -I$(MKLROOT)/include
 		LDFLAGS += -L$(MKLROOT)/lib
 	endif
-
+    # MKLDNN but to needs to be dynamically linked for windows
+    # MKLDNN is statically linked on other platforms
 	ifneq ($(UNAME_S), Windows)
 		LIB_DEP += $(MKLDNNROOT)/lib/libmkldnn.a
 	else