GNUPLOT HELP

Ive just installed cygwin and im having some problems with gnuplot i have the terminal type set to x11 but ive tried png and a few other.

With x11 i get the error
gnuplot> plot sin(x)

gnuplot: unable to open display ''
gnuplot: X11 aborted.

and with jpeg I get a whole load of rubbish on my screen.
How can I fix this output problem
Thanks!!
That is not a C++ question.

Websearch returns stuff like: http://www.maths.manchester.ac.uk/~pjohnson/Gnuplot/windows_gnuplot.html
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