Download gnuplot from this
There is no need to run any exe file but directly copy them to some directory on your system and then make a shortcut to wgnuplot.
It is also useful to install ghostview which allows you to view postscript graphs made with gnuplot. You need gs860w32.exe and gs49w32.exe (or higher?).
Instructions for installing ghostview can be found here;
http://pages.cs.wisc.edu/~ghost/gsview/
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