To plot a straight line parallel to the y-axis in Gnuplot, use the command 'set parametric' followed by 'plot 20,t'. This will create a line at x = 20, but by default, it may only extend to a limited range on the y-axis. To extend the line vertically, adjust the t-range with 'plot [t=-1000:1000] 20,t'. For Windows users, Gnuplot is primarily designed for Unix systems, but it can be run on Windows through Cygwin, which allows Unix applications to operate in a Windows environment. Users need to install Cygwin and XFree86 for the graphical interface. Alternatively, Gnuplot can generate plots in PDF and Postscript formats, which may be simpler for those who find the setup complex.