There are three software components that you will need: the OCaml compiler, the PLplot library, and the camlidl OCaml <-> C binding generator. As of version 5.9.1, the OCaml bindings are included in the core PLplot distribution.
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.
PLplot can be downloaded from the PLplot home page at sourceforge.net—plplot. Follow the installation instructions after downloading. The installation process is more involved than other open source software and requires that your computer has cmake installed. Packages are available for several major Linux distributions, though the OCaml bindings are only included in versions 5.9.1 and later. OCaml bindings are available for versions 5.8.0 and 5.9.0 at ocaml-plplot.googlecode.com. These bindings are not as complete as the bindings included in the official PLplot releases but are still quite functional.