Here you can follow the steps to install pgplot on you linux OS.
First, you need to be sure you have X11 lib development packages installed, and then just follow the steps copied as below:

su
cd /usr/local/src
wget  ftp://ftp.astro.caltech.edu/pub/pgplot/pgplot5.2.tar.gz
tar -zxvf pgplot5.2.tar.gz
cd pgplot
mkdir /usr/local/pgplot
cd !$
cp /usr/local/src/pgplot/drivers.list .

then use vim to edit drivers.list in the directory, choose the PSDRIV 1,2,3,4 for EPS figures and XWDRIV 1,2 for X-window output. And then

/usr/local/src/pgplot/makemake /usr/local/src/pgplot linux g77_gcc
ln -s /usr/bin/g77-3.3 /usr/bin/g77 
#(if you have g77 you can skip this, 
#or if you have g77-**, please use g77-** instead of g77-3.3)
make
make cpg

And then replace the first line of /usr/local/src/pgplot/makehtml with #!/usr/bin/perl, run

make pgplot.html
make clean
cd /usr/local/lib
ln -s /usr/local/pgplot/libpgplot.a libpgplot.a
ln -s /usr/local/pgplot/libcpgplot.a libcpgplot.a
cp /usr/local/pgplot/libpgplot.so .
/sbin/ldconfig -v
ln -s /usr/local/pgplot/cpgplot.h /usr/local/include/cpgplot.h

Then, setup the environment variables. If you want to use bash, just edit /etc/bash.basrc file, adding

PGPLOT_DIR=/usr/local/pgplot/
export PGPLOT_DIR
PGPLOT_DEV=/xwin	
export PGPLOT_DEV
into it. If you want to use tcsh/csh, you need to edit /etc/csh.cshrc file by adding

setenv PGPLOT_DIR /usr/local/pgplot/ setenv PGPLOT_DEV /xwin

into it. Then re-login your bash/csh/tcsh and go to the /usr/local/pgplot directory and run demo to check whether you successfully installed pgplot as

cd /usr/local/pgplot
./pgdemo1

All the steps are taken form: http://www.lorene.obspm.fr/pgplot_quick.txt with some little variation by myself. And this is a part of LensTools intallation, and the most difficult part of it.