What should you do when someone mistakenly builds the same building twice?
If it is too late to undo, option 3 is your best bet (assuming they can build their wonder). If it's been more than 2-3 turns, and other people have been using their resources, I might consider letting it stand. Especially true if there are a lot of people who haven't played before in the game.

Really it's not the end of the world, unless a player consistently does it (e.g. more than twice) in which case it's probably cheating.