I was trying the following simple command line option, but it appears it is not working:
echo plot sin(x) | gnuplot.exe -persist -
I was expecting to display the graph and the window to remain there,but unfortunately this is not the case.
The --persist option on Windows indeed does something different, which is documented (albeit somewhat hidden): see help windows.
The technical reason is that the --persist feature relies on fork(), which is not available on Windows (unless you use cygwin). There's no easy fix to this that I am aware of. In some cases you can get something similar by using the "start" command, though:
start wgnuplot -e "plot sin(x)" --persist
This will launch gnuplot in a separate session and you can continue to use the current command line.
CVS Version 5 now handles the -persist option properly on Windows if you use the qt terminal. windows, wxt and caca still maintain the old behaviour, though.
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