There are three software components that you will need: the OCaml compiler, the PLplot library, and the camlidl stub code generator for OCaml bindings to C libraries.
You will need the OCaml compiler in order to build and use the OCaml PLplot bindings. OCaml includes both a bytecode compiler (ocamlc) and a native code compiler (ocamlopt). Both of these are supported by PLplot.
Your computer may already have OCaml installed, or you can download it from caml.inria.fr. Several Linux distributions including Debian, Ubuntu and Fedora have OCaml binary packages available. Another route to obtaining OCaml is by using GODI, a source-based distribution of OCaml and a number of OCaml libraries. GODI can be retrieved from godi.camlcity.org. GODI has support for building and installing under Linux, Apple's OS X and MS Windows.