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If a players are builds a civil wonder, and this is the same one, so owner is the first one who done first?

Yes, only one. The order of the players processed is usually random (that can be reconfigured in game options). So one gets the wonder and the another "can't build" message. Luckily, the shields don't disappear but spending them on anything but another wonder will halve them. If you don't have a wonder to build now, either eat this up and spend the half of the shields on something you need, or keep "building" the wonder until you have another wonder to switch to.

I understand. Thank you.

Sorry for late reply.

The answer above is correct for Great Wonders. Civil wonders are different. Each player can build only one civil wonder. What other players build does not matter, because Civil Wonders are not exclusive Great Wonders.

So, that should answer your question, but if not I'll tell what happens if you try to finish two civil wonders in two different cities, on the same turn. One will finish, and the other you can't build. Then you'd have to change the target to a different wonder (or lose a half the shields from switching target-genus to a unit or building.)

Cheers