What is the name of this thing like a building on top of a roof?

I'm quite sure you are referring to the attic.

An attic is defined as a space or room inside or partly inside the roof of a building.

Although the most common use of the word penthouse is the biggest, most luxurious apartment at the top of a tall building, in British English at least, it is also used to describe the building your photo. From Collins Cobuild:

penthouse in British (ˈpɛntˌhaʊs) noun

1. a flat or maisonette built onto the top floor or roof of a block of flats
2. a construction on the roof of a building, esp one used to house machinery
3. a shed built against a building, esp one that has a sloping roof
4. [real tennis] the roofed corridor that runs along three sides of the court

If it were smaller and only intended to be a weatherproof enclosure for the top of the stairwell, you might call it a bulkhead:

Quoting dictionary.com (Random House dictionary):

bulkhead

4. Building Trades.

   b. boxlike structure, as on a roof, covering a stairwell or other opening.

I'm thinking the specific kind of structure you see there is somewhere between this word and penthouse, as advised in another answer, so I'm somewhat at a loss to suggest one over the other.

It might be better described by its in-context use, e.g. utility room or roof access structure.

The Scottish Building regulations manual calls this a

rooftop plant room.

Scottish Building Regulations

The term mechanical penthouse (or MPH) is common in North America, especially on taller buildings.