[updated Sep 2012]
If you are still stuck with using windows for whatever reason, don’t despair you can still use gnuplot to plot your graphs! You can get gnuplot from the gnuplot project page on sourceforge.
Browse versions to go to directory with latest updates.
Download gp443win32.zip (or latest version) which is a self extracting zip file, click on it and follow the instructions. (you don’t need to have winzip installed). You just have to copy the files to a directory on your computer, then make a shortcut to wgnuplot.
It is also useful to install ghostview, you need gs860w32.exe and gs49w32.exe (or higher?) which allows you to view postscript graphs made with gnuplot, you can copy from ghostview to the windows clipboard to insert into your word document if you so desire.
Instructions for installing ghostview can be found here;