Inserting a .EMF file into a LaTeX document.

You need to export the plot in a graphics file. This can be either a .png, .jpg, .eps or .pdf.

However from looking at the Maxima website, it has a list of help articles for TeX exports - here. I've not used Maxima to create graphs as I tend to use GNUPlot as I find it the easiest method to create graphs and then export them into LaTeX. Might be worth investigating that if it can help.

If this software can't produce a EPS or PDF file itself you should convert the EMF file (Enhanced Windows Metafile, a Windows (read Microsoft) vector graphics format) to either PDF (pdflatex) or EPS (latex). I would not recommend to convert it to a raster image format like PNG and especially not to the lossy JPG format. (See also Quickest way to include graphics for more.)

You can try to use the convert tool (under Windows sometimes called imgconvert) of Image Magick:

convert somefile.emf somefile.pdf

But often it doesn't work well with the fonts.

There is also Inkscape (under Linux I mean), a vector graphic drawing program which reads and writes a lot of formats and does a very good job.

Under MS Windows you might also try to simply open the EMF file using whatever tool Windows provides for it and print it using a PDF printer (e.g. the free pdfcreator) to a PDF (or even EPS, IIRC). Then you can use pdfcrop to remove the resulting page margins around it.

The Lyx people have links to a Metafile to EPS converter, which works for both WMF and EMF files. This needs to be installed on a Windows system, but provided you have one of these available seems to work well. Sometimes the resulting EPS file is rather large, but for me conversion to PDF format seems to resolve this (if you are using pdfLaTeX, of course).