It's a bit of a story, however the result is the preliminary working version of an NSIS installer script for gnuplot as prototype to look at. It helped me understanding parts of the NSIS installer system and allowed me to properly and automatically install gnuplot on my windows machine. I do no plan on spending more time on it, if there is no interest from the developers' side. Also, I do not have enough time to commit to this, but someone might have and it might save this person some time.
It's not in patch format because I do not have a development setup on my machine. At least it's in the system and slightly documented and won't get lost.
Initial NSI script for NSIS windows installer (not in patch format)
gnuplot now ships with an installer using Inno Setup.