I found it on the other forum here
http://forexsystems.ru/phpBB/viewtopic.php?t=47
It is the thread where people are developing Neural Networks indicator for MT4. In Russian language, sorry.
- they started with some e-books and articles;
- then some library files for Delphi 4 (NeuralBase, Neural Network Wizard, GeneBase, SOMBase, WavUtils);
- then they coded many versions of indicator NeuroProba.mql4 (author is Rosh);
- then they tested it and found many bugs and mistakes in calculation.
This thread is not closed yet and seems they are continuing to development (it is necessary to register on their forum to see the attachments).
Besides I found
this link about Neural Networks (in English).