I had far more trouble with this than reasonable in the end, the support documentation and guidance is a little misguiding at times. I now have an installation of straight up Gnuploy as well as the python module on my machine...
1) Download Gnuplot.py (zip file) from here: http://sourceforge.net/projects/gnuplot-py/files/
2) Unzip and move the subsequent folder to your working directory. Just drag and drop it. I happen to have this directory added in to the python default search path. While we are here I managed that using:
import sys
sys.path.append('C:\\folder\\folder\\working-directory')
3) Open the command line by typing 'cmd' into Run
4) 'cd' your way into your working directory (using the double \\ convention for folders) and on into the top of the gnuplot.py directory. This is the one with the file "setup.py" in it at the bottom
5) Type: "python setup.py install" in the command line and it all ought to extract and build just fine.
Now you, well I, can open the python interpreter of choice and,
import Gnuplot
now ought to work just fine. Two hours of my life condensed in 5 steps. It always takes longer than you think...