Hi Lam,
I am using Dev-C++ and cygwin in mswindows using plplot. To create the libraries
I only had to do ,from a cygwin console, in the directory where I have the plplot:
./configure-disable-tcl -disable-itcl
Note. you need some of the last cvs from plplot to compile wiht cygwin I had plplot-5.2.1.cvs.20031227
That all.
Later in the Dev-c++ Ide (I suppose you have configured it to use cygwin) the only thing I needed was
to put the  "plplot-5.2.1.cvs.20031227/bindings/c++/.libs/libplplotcxxd.dll.a" library in the
project->options->parameteres->linker using add library.
 To make the program work later, you need to have in your path the cygplplotcxxd-9.dll, cygplplotd-9.dll
and cygcsirocsa-0.dll plplot libraries.
Note. also of course  the usual cygwin's dll. If you dontīt have put them the program will warn you telling
the name of the librarie required.