[gnuplot] How to create a data file for gnuplot?

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!