Ok, I tested the exact command as Hazen and it still gives me same messages.

PATH to begin with is:
C:\Qt\2010.02.1\qt\bin
C:\Qt\2010.02.1\bin
C:\Qt\2010.02.1\mingw\bin
C:\program files\cmake\2.8\bin

My batch file to build plplot is:
set PKG_CONFIG_PATH=C:\gtk\lib\pkgconfig
set PLPLOT_LIB=C:\plplot\data
set PATH=%PATH%;C:\gtk\bin
cd buildmingw
cmake .. -G "MinGW Makefiles" -DPKG_CONFIG_EXECUTABLE=C:\gtk\bin\pkg-config.exe -DBUILD_TEST=ON -DCMAKE_INSTALL_PREFIX=C:\plplot
set PATH=%PATH%;C:\plplot\buildmingw\dll
mingw32-make
mingw32-make install

the cmake command still flags that PKG_CONFIG_PATH is not appropriate:
-- WARNING: pango, pangoft2, or lasi not found with pkg-config.
   Setting PLD_psttf to OFF.  Please install all of these packages
   and/or set the environment variable PKG_CONFIG_PATH appropriately.

mingw32-make fails when building the qt dll's

and examples still shows me the cmap0 warning ... :(