Add cmake version to documentation, close #667

Docs/how_to_build_on_linux.md

@@ -12,6 +12,10 @@ sudo apt-get install build-essential clang-5.0 lld-5.0 g++-7 ninja-build python
 pip install --user setuptools nose2
 ```
 
+Note that some dependencies require **CMake 3.9** or later installed in your
+machine, you can retrieve the latest version from the
+[CMake download page][cmakelink].
+
 To avoid compatibility issues between Unreal Engine and the CARLA dependencies,
 the best configuration is to compile everything with the same compiler version
 and C++ runtime library. We use clang 5.0 and LLVM's libc++. We recommend to
@@ -23,6 +27,8 @@ sudo update-alternatives --install /usr/bin/clang++ clang++ /usr/lib/llvm-5.0/bi
 sudo update-alternatives --install /usr/bin/clang clang /usr/lib/llvm-5.0/bin/clang 101
 ```
 
+[cmakelink]: https://cmake.org/download/
+
 Build Unreal Engine
 -------------------