Your title says "multiple dependent variables", and your question says "a set of independent variables". Do you have multiple dependent variables or multiple independent variables or both?
classregtree can only handle scalar response. That is, you must pass Y to classregtree(X,Y) as a vector with one value per observation (row) in X. If you have multiple response values per observation, you can't use classregtree.
You must pass X as an N-by-P matrix for N observations and P variables. X must be numeric. If you have categorical variables, code them as integers and use 'categorical' parameter to tell classregtree the indices of columns in X that have these categorical variables. You do not need to "dummify" your variables - classregtree will do it for you.
