Why I obtain this error trying to compile this wallet?
Like it says, you are missing the header file miniupnpc/miniwget.h.  Usually this means there is a required library that is not installed.

Ubuntu has the convenient tool apt-file for finding which package provides a particular file.  Install the apt-file package (apt-get install apt-file) and run apt-file update to install the file list.  Then you can do

$ apt-file search miniwget.h
libminiupnpc-dev: /usr/include/miniupnpc/miniwget.h


So you need to install the libminiupnpc-dev package.

Since the documentation doesn't seem to mention this dependency, you may want to report this as a documentation bug to the MJcoin developers.