How to install GnuPlot on windows?

You don't have to install MinGW or Cygwin. Actually packages compiled in MinGW are compatible with Windows. Just download the binary of gnuplot from Their repo and you are good to go.

Additional points:

• When installing, check which terminals you want to set up; also check if you want the installer to add the PATH variable to your system. Also, create a desktop shortcut.
• After installation, you should see the desktop shortcut. Clicking on it should open a terminal-based gnuplot (which hopefully you are familiar with).

Please note that I have used the x11 terminal (you can get this working by installing xming). There are other options such as windows and qt terminals, but I am not an expert on using these.