@Vincenzo and Hazen:
Regarding gtk+, that is what I installed and figured to set it in my PATH before building plplot.  I was not sure if that was the way to go.  Thank you for the confirmation.  That also included pkg-config and I will follow the instructions from Werner to set the other environment variables.

@Hazen:
I am trying to install 5.9.5 and not the SVN head.  I got the source files from the sourceforge link.  My PATH parameter is:

C:\Program Files\ImageMagick-6.6.0-Q16;
C:\Program Files\Vim\vim72;
C:\Program Files\GnuWin32\bin;
C:\Program Files\Intel\MKL\10.0.4.023\ia32\bin;
C:\Program Files\Intel\Compiler\11.0\066\fortran\lib\ia32;
C:\Program Files\Tecplot\TecFocus\Bin;
C:\WINNT\system32;
C:\WINNT;
C:\WINNT\System32\Wbem;
C:\orant\bin;
C:\Program Files\Oracle\jre\1.1.7\bin;
C:\Program Files\Windows Imaging\;
C:\PROGRA~1\DISKEE~1\DISKEE~1\;
C:\Program Files\Common Files\Lenovo;
C:\Program Files\Intel\WiFi\bin\;
C:\Program Files\IXOS\bin;
C:\Program Files\MATLAB\R2008b\bin;
C:\Program Files\MATLAB\R2008b\bin\win32;
C:\Program Files\QuickTime\QTSystem\;
C:\Program Files\CMake 2.8\bin;
C:\Qt\2010.02.01\qt\bin;
C:\Qt\2010.02.01\bin;
C:\Qt\2010.02.01\mingw\bin;
C:\WINNT\System32;
C:\gtk\bin;
C:\plplot-5.9.5\buildmingw\dll

Note that the last two entries (gtk and plplot dll's) are added by way of my batch file.  As to your other question about cmap0, I dont know which cmap0 file is being used and how?  I noticed there are cmap0*.pal and cmap1*.pal files in C:\plplot-5.9.5\data directory and I tried copying one of them and named it cmap0.pal but that didnt change anything.

@Werner:
I have the C:\Qt\2010.02.01\qt\bin in my PATH.  (Unless the dll's plplot is looking for in another directory)  I will follow the instructions from your post and report back on the results.  And, I did not set the PLPLOT_LIB environment variable.  Will try that as well before building and see what, if anything, changes.  And yes, I have the same problems with C examples.  (Those are the only 2 sets of examples I build). 
And, the source is obtained from sourceforge and not SVN.

Thank you very much for helping me through this.

Ankur