The followings worked:
- Install MATLAB R2016b (instead of MATLAB R2017a)
- Install Visual Studio 2013 Community
- Install CUDA 7.5 (custom install, select cuda toolkit and visual studio integration).
- Run 'mex -setup c++' in Matlab command window.
I don't know why R2017a didn't find Visual Studio 2013. An issue caused by a combination of Windows 7 and R2017a? Anyway, Visual Studio 2013 Community was recognized by MATLAB as Visual C++ 2013 Professional edition!