On ubuntu 13, I had to
sudo apt-get install cmake libglew-dev xorg-dev
sudo apt-get build-dep glfw sudo apt-get install cmake libglew-dev xorg-dev
sudo apt-get build-dep glfwThe last step yields:
Reading package lists... Done
Building dependency tree
Reading state information... Done
E: You must put some 'source' URIs in your sources.list
EDIT:
Even after updating my /etc/apt/sources.list, and having the build-dep step run without error, I still get that original message. :(
I was having the same issue on Ubuntu until I uninstalled cmake and compiled from source.