missing Doxygen executable means you don't have the doxygen document builder installed.
if you want to install it:
sudo apt-get install doxygen
If you want to build GLFW without documentation you could try to disable
it in CMakeLists.txt.
GLFW builds the docs by default so you can switch it off.
The option below should be on line 24 in CMakeLists.txt, disable this option by replacing ON with OFF.
option(GLFW_BUILD_DOCS "Build the GLFW documentation" ON)
To be honest, just install doxygen if you don't want this hassle.
After you have built GLFW you need to 'make install', if this is successful then build AGKTier2 then the interpreter.
Hopefully this helps.