I had the same issue when tried to open the file using Plot->Data filename... option provided in the version for Windows 7 (by the way, it worked fine on another computer with the same version of the OP system).
Then I tried to change directory and save the .plt
file, but it didn't work either. Finally, I tried to tape manually as it was showed for Linux earlier in this queue of posts:
gnuplot > plot "./datafile.dat"
and it worked!