See Section 2.8 for instructions on how to build a mex file of the MATLAB interface for IPOPT and how to make it known to MATLAB.
The $IPOPTDIR/contrib/MatlabInterface/examples directory contains several illustrative examples on how to use the MATLAB interface. The best way to understand how to use the interface is to carefully go over these examples.
For more information, type help ipopt in the MATLAB prompt.
Further, Jonas Asprion assembled information about the MATLAB ipopt function and its arguments: http://www.idsc.ethz.ch/Downloads/IPOPT_InstallMatlab/IPOPT_MatlabInterface_V0p1.pdf
Note, that this document refers to IPOPT versions before 3.11. With 3.11, the auxdata option has been removed from the mex code. The new wrapper function ipopt_auxdata implements the same functionality as the previous ipopt function, but uses MATLAB function handles to do so.