You don't need to have svn, or even a svn checkout version. As long as you have the source files, you can compile them. 'make install' isn't the same thing as 'make', although it still compiles, but into an installer form. 'make install' creates an installer for the game, which you do not need since you can just compile the sources to create executable right away. You are getting that error because you can't create an installer for your operating system. Ufo2000's 'make install' is meant for windows systems, which requires NSIS to create a win32 installer.
'make' works fine, that's all you have to worry about.
As for DUMB 0.9.3, ufo2000 isn't setup to compile with it, hence compilation problems.
But i thought it would be a good idea to install it properly.
There is no such thing as a "proper" install. This is just a misconception with Window's "friendly" interface. There is no installation difference between an automated installer vs. compiling into an executable.