Solve large linear system of equations with klu function

I have a huge sparse function L (10 million*10 million). It is not symmetric. Most off-diagonals are zeros. I want to solve for sol=L\R with matlab. It is very slow. So I tried Cholosky factorization using "klu" function from SuiteSparse. However, it reports "klu mexFunction not found". Does anyone know what's the problem, or have any better suggestions?

[John D'Errico]

I don't think you have tried Cholesky, if the matrix is not symmetric. KLU is probably an LU factorization. Regardless, you may not have it properly installed, or are not using it properly. Contacting the source is always the best solution.