As has been pointed out in other answers, Trinity's situation against the Agents in the close quarters of the building was hopeless, whereas she at least had a slim possibility of surviving by jumping out the window. She was firing at the Agents on her way down in an attempt to suppress and/or hit them, after which she could attempt to right herself and land on her feet as Jue did. Unfortunately, Agent Thompson hit her instead, and with a bullet wound there was no longer any way for her to try to land on her feet and survive.
It's also worth pointing out that with two Agents fighting her she didn't have as much time to analyze the situation as we do, and she probably simply panicked. Jumping out the window was the only way to put at least some distance between her and the Agents, so it's a reasonable choice for a split-second decision. Zion operatives like Trinity can perform amazing feats in the Matrix, but they are still only human.
As for your comparison with Jue from Final Flight of the Osiris, there are significant differences between the two jumps. Perhaps the biggest is that Trinity was distracted as she was trying to escape Agents while Jue could focus entirely on the jump and landing. Also, Jue appears to have jumped from a lower height:
Finally, as to your last question:
On the other hand, why didn't she shoot the window from the inside and jump to the next building, just like she and Morpheus did in The Matrix?
In The Matrix Trinity jumps from one building to another while running from Agent Brown, but she was at a full sprint whereas in this case she didn't have much of a running start. Also, in The Matrix she jumped across a two lane street:
whereas the image above shows that she would have had to jump across a six lane street in The Matrix Reloaded.
Morpheus jumps over what appears to be a very wide street while training Neo, but Morpheus was not in any danger at the time and could fully concentrate. Moreover, Morpheus may simply be better at long jumps than Trinity.
Overall, Trinity's choice probably gave her the best chance of survival -- albeit still a very poor one. It's just unfortunate that she was shot and lost all hope of surviving on her own.