According to this article, the
Mclip matrix will be used, but I didn't find any function in Directx11 to set this matrix. How do I set it?
The documentation link you've provided is not from Direct3D 11, it's from Direct3D 9.
That aside, in the code snippets and formulae around discussion of this matrix we see the following:
Cx, Cy - dvClipX, dvClipY from D3DVIEWPORT9
Cw, Ch - dvClipWidth, dvClipHeight from D3DVIEWPORT9
Zmin, Zmax - dvMinZ, dvMaxZ from D3DVIEWPORT9
The mention of "from D3DVIEWPORT9" is your answer: it comes from the viewport. In Direct3D 11 that's an ID3D11DeviceContext::RSSetViewports call.