This version of pst-plot uses the xkeyval package, the extended
version of keyval.

Save the files pst-plot.sty|.tex| in a directory, which is part of your 
local TeX node. Then do not forget to run texhash to update this node
if these packages are new to your TeX distribution.
For more information  see the documentation of your LaTeX distribution 
on installing packages into your LaTeX distribution or the 
TeX Frequently Asked Questions:
(http://www.tex.ac.uk/cgi-bin/texfaq2html?label=instpackages).

pst-plot needs pstricks, which should be part of your
local TeX installation, otherwise get it from a CTAN server, f.ex.
http://mirror.ctan.org/graphics/pstricks/