I've never used this particular ruby-gnuplot library, but the following 
works for me with gnuplot 4.0:

C:\prj\gnuplot\bin>irb
irb(main):001:0> gp = "pgnuplot"
=> "pgnuplot"
irb(main):002:0> pi = IO.popen(gp, "w")
=> #<IO:0x2c20c00>
irb(main):003:0> pi.puts "plot sin(x)"
=> nil

The plot window stays up and lets you manipulate it with the mouse. Just 
keep the pipe open.

One small advantage of windows gnuplot is that if you go to the window 
menu (?) in the upper left corner, and select "options", you can print 
and do other neat stuff.

My experience was that the -persist flag wasn't necessary on windows.

-- 
        vjoel : Joel VanderWerf : path berkeley edu : 510 665 3407