Here's my second Win XP post.
Here's how to set up gnuplot on windows XP. You can also set it up using cygwin: http://verahill.blogspot.com.au/2013/03/353-cygwin-with-octave-and-gnuplot-on.html
Go to http://www.tatsuromatsuoka.com/gnuplot/Eng/winbin/ and download http://www.tatsuromatsuoka.com/gnuplot/Eng/winbin/gp470-20120916-win32-mingw-setup.zip
You'll need e.g. 7zip to extract the file.
2. Install and set up
Extract the gp470-20120916-mingw.exe file to some temporary place, and then launch the installation by double-clicking on it. Most installation steps are straight-forward. Set windows as the default terminal, and make sure to check the box to add the application directory to PATH.
Launch gnuplot from the windows start menu as any other program if you want it to run interactively.
Alternatively, create a script and launch it using "gnuplot scriptname" from cmd as you would under linux.