In order to install the version in the repositories, use:
sudo apt install libmgl-dev
Once I do that, on my system:
$ ls /usr/include/mgl2/
abstract.h cont.h eval.h mgl_cf.h parser.h type.h
addon.h datac_cf.h fit.h mgl.fs pde.h vect.h
base_cf.h data_cf.h Fl_MathGL.h mgl.h plot.h vectors.fs
base.h datac.h fltk.h mgl_pas.pas prim.h volume.h
canvas_cf.h data.h font.h mglplot.fs qmathgl.h window.h
canvas.h define.h glut.h mpi.h qt.h wnd.h
canvas_wnd.h dllexport.h gsl.fs opengl.h surf.h wx.h
config.h evalc.h mathgl.fs other.h thread.h
You should then be able to compile a simple application something like this:
===
#include <mgl2/mgl.h>
int main()
{
}
===
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