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/