I have come across the same problem with other files and dependencies, packages not installed and so on. Since you're using Ubuntu you can use the apt-file program which will list all the packages that contain the file(s) that give you the error. First you'll have to install the program using:
apt-get install apt-file
After that do an update:
and then you can start using it:
apt-file search gtkmm.h
which will give you the result:
So the package you need to install is libgtkmm-2.4-dev
This way you'll always have a handy tool to assist you with compilation errors.