Statistics Toolbox includes some nice examples of linear discriminant analysis: http://www.mathworks.co.uk/help/toolbox/stats/bq_u8tb.html http://www.mathworks.co.uk/products/statistics/demos.html?file=/products/demos/shipping/stats/classdemo.html
To find out more about the method and algorithms, I'd recommend:
Krzanowski, W. J. Principles of Multivariate Analysis: A User's Perspective. New York: Oxford University Press, 1988.
Seber, G. A. F. Multivariate Observations. Hoboken, NJ: John Wiley & Sons, Inc., 1984.