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Trying to run example2.mod using Octave 4.2.1 under Windows with Dynare 4.4.3 I get the following:
>> dynare example2.mod
warning: function c:\dynare\4.4.3\matlab\/missing/ilu\ilu.m shadows a core library function
warning: called from
dynare_config at line 95 column 5
dynare at line 48 column 12
warning: function c:\dynare\4.4.3\matlab\../mex/octave\ordschur.oct shadows a built-in function
warning: called from
dynare_config at line 113 column 5
dynare at line 48 column 12

Configuring Dynare ...
[mex] Generalized QZ.
[mex] Sylvester equation solution.
[mex] Kronecker products.
[mex] Sparse kronecker products.
[mex] Local state space iteration (second order).
[mex] Bytecode evaluation.
[mex] k-order perturbation solver.
[mex] k-order solution simulation.
[mex] Quasi Monte-Carlo sequence (Sobol).
[mex] Markov Switching SBVAR.

Starting Dynare (version 4.4.3).
Starting preprocessing of the model file ...
Found 6 equation(s).
Evaluating expressions...done
Computing static model derivatives:
- order 1
Computing dynamic model derivatives:
- order 1
- order 2
Processing outputs ...done
Preprocessing completed.
Starting MATLAB/Octave computing.


STEADY-STATE RESULTS:

y 0.0775944
c -0.218662
k 2.40547
a 0
h -1.23183
b 0
error: dyn_first_order_solver: library open failed: c:\dynare\4.4.3\matlab\../mex/octave\mjdgges.mex

What am I doing wrong?

You cannot run Dynare 4.4.3 with Octave 4.2. Please try Dynare's unstable version (to be released as Dynare 4.5 soon): http://www.dynare.org/download/dynare-unstable