@Bat I can checkout the Merge Request, however when I push, Gitlab suggest to create a new MR against the one I checked out.
I followed these instructions (bottom of the page) https://gitlab.com/help/user/project/merge_requests/index.md
And also, the instructions given directly on the MR to review locally. Which is: `git checkout -b username/repository-and-branch_name FETCH_HEAD`