The following tips have been provided by Philipp Bausch.

#To install everything install mercury
#
sudo apt-get install mercurial libmotif-dev libxmu-dev libxpm-dev
#
#Get coin next.
#
hg clone https://bitbucket.org/Coin3D/coin
#
#configure and install coin:
#
./configure && sudo make install
#
#Get SoXt
#
hg clone https://bitbucket.org/Coin3D/soxt
#
#configure and install soxt:
#
#include path should now be correkt.
#link with -lCoin and -lSoXt
#
#Change the SoWin.h -> SoXt.h
#Change SoWin - > SoXt
#Remove <windows.h> and remove compile errors.
#Remove SetWindowPos // I don't know the SoXt alternative