This is how you do:
/*
* Author: Ramon Casero <rcasero@gmail.com>
* Copyright © 2011-2013 University of Oxford
* Version: 0.10.2
*
* University of Oxford means the Chancellor, Masters and Scholars of
* the University of Oxford, having an administrative office at
* Wellington Square, Oxford OX1 2JD, UK. 
*
* This file is part of Gerardus.
*
* This program is free software: you can redistribute it and/or modify
* it under the terms of the GNU General Public License as published by
* the Free Software Foundation, either version 3 of the License, or
* (at your option) any later version.
*
* This program is distributed in the hope that it will be useful,
* but WITHOUT ANY WARRANTY; without even the implied warranty of
* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
* GNU General Public License for more details. The offer of this
* program under the terms of the License is subject to the License
* being interpreted in accordance with English Law and subject to any
* action against the University of Oxford being under the jurisdiction
* of the English Courts.
*
* You should have received a copy of the GNU General Public License
* along with this program.  If not, see
* <http://www.gnu.org/licenses/>.
*/

#ifndef MEXINTERRUPT_H
#define MEXINTERRUPT_H

/* mex headers */
#include <mex.h>

/* C++ headers */
#include <iostream>
#include <string>
/*
* utIsInterruptPending(): "undocumented MATLAB API implemented in
* libut.so, libut.dll, and included in the import library
* libut.lib. To use utIsInterruptPending in a mex-file, one must
* manually declare bool utIsInterruptPending() because this function
* is not included in any header files shipped with MATLAB. Since
* libut.lib, by default, is not linked by mex, one must explicitly
* tell mex to use libut.lib." -- Wotao Yin, 
* http://www.caam.rice.edu/~wy1/links/mex_ctrl_c_trick/
*
*/
#ifdef __cplusplus 
  extern "C" bool utIsInterruptPending();
#else
  extern bool utIsInterruptPending();
#endif

/*
* ctrlcCheckPoint(): function to check whether the user has pressed
* Ctrl+C, and if so, terminate execution returning an error message
* with a hyperlink to the offending function's help, and a hyperlink
* to the line in the source code file this function was called from
*
* It is implemented as a C++ macro to check for the CTRL+C flag, and
* a call to function ctrlcErrMsgTxt() inside, to throw the error. The
* reason is that if ctrlcCheckPoint() were a function instead of a
* macro, this would introduce a function call at every iteration of
* the loop, which is very expensive. But then we don't want to put
* the whole error message part inside a macro, it's bug-prone and bad
* programming practice. And once the CTRL+C has been detected,
* whether the error message is generated a bit faster or not is not
* important.
*
* In practice, to use this function put a call like this e.g. inside
* loops that may take for a very long time:
*
*    // exit if user pressed Ctrl+C
*    ctrlcCheckPoint(__FILE__, __LINE__);
*
* sourceFile: full path and name of the C++ file that calls this
*         function. This should usually be the preprocessor
*         directive __FILE__
*
* lineNumber: line number where this function is called from. This
*         should usually be the preprocessor directive __LINE__
*
*/
inline
void ctrlcErrMsgTxt(std::string sourceFile, int lineNumber) {

// run from here the following code in the Matlab side:
//
// >> path = mfilename('fullpath')
//
// this provides the full path and function name of the function
// that called ctrlcCheckPoint()
int nlhs = 1; // number of output arguments we expect
mxArray *plhs[1]; // to store the output argument
int nrhs = 1; // number of input arguments we are going to pass
mxArray *prhs[1]; // to store the input argument we are going to pass
prhs[0] = mxCreateString("fullpath"); // input argument to pass
if (mexCallMATLAB(nlhs, plhs, nrhs, prhs, "mfilename")) { // run mfilename('fullpath')
  mexErrMsgTxt("ctrlcCheckPoint(): mfilename('fullpath') returned error");
}
if (plhs == NULL) {
  mexErrMsgTxt("ctrlcCheckPoint(): mfilename('fullpath') returned NULL array of outputs");
}
if (plhs[0] == NULL) {
  mexErrMsgTxt("ctrlcCheckPoint(): mfilename('fullpath') returned NULL output instead of valid path");
}

// get full path to current function, including function's name
// (without the file extension)
char *pathAndName = mxArrayToString(plhs[0]);
if (pathAndName == NULL) {
  mexErrMsgTxt("ctrlcCheckPoint(): mfilename('fullpath') output cannot be converted to string");
}

// for some reason, using mexErrMsgTxt() to give this output
// doesn't work. Instead, we have to give the output to the
// standar error, and then call mexErrMsgTxt() to terminate
// execution of the program
std::cerr << "Operation terminated by user during "
    << "<a href=\"matlab:helpUtils.errorDocCallback('"
    << mexFunctionName()
    << "', '" << pathAndName << ".m', " << lineNumber << ")\">"
    << mexFunctionName()
    << "</a> (<a href=\"matlab:opentoline('"
    << sourceFile
    << "'," << lineNumber << ",0)\">line " << lineNumber
    << "</a>)"
    << std::endl;
mexErrMsgTxt("");
}

#define ctrlcCheckPoint(sourceFile, lineNumber)           \
if (utIsInterruptPending()) {                \
  ctrlcErrMsgTxt(sourceFile, lineNumber);           \
}


#endif /* MEXINTERRUPT_H */
How to stop with CTRL C a running mex file in Matlab

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