You are not going to be able to achieve much with an integrated Intel graphics card. First, most deep learning frameworks use CUDA to implement GPU computations and CUDA is supported only by the NVidia GPUs. There were several attempts to extend the standard deep learning frameworks to OpenCL, notably Theano has an incomplete OpenCL backend and Caffe has been ported to OpenCL by the AMD research lab. However, these are either incomplete at this point or not as actively maintained.
The other issue is performance. Depending on your application, you might require a much better GPU than what your laptop can provide. It is not uncommon to use multi-GPU machines equipped with NVidia Titans to train networks for days or even weeks.
My recommendation is to either buy a dedicated machine for deep learning computations (a single GPU machine with the just released NVidia GTX 1080 can be purchased for the price of a standard laptop) or rent GPU instances on Amazon EC2.