> Any hints on how I can compile and produce a working .exe file? [...]

   I've never looked at gnuplot, so I know nothing, but you may need to
look at the code, to see why it's trying to typedef _Bool (when you
probably have a <stdbool.h>, and the compiler already thinks that it
knows what _Bool is).

   I found a "syscfg.h" on the Web which might do this if HAVE_STDBOOL_H
wasn't defined as 1.  HAVE_CONFIG_H does seem to be defined (on the CC
command line), so that's not it.  What's in your "config.h"?  (I
normally hand edit a "config.h" when I port some GNU thing, but it looks
as if "configure.vms" tries to generate one here.)  Are all those "No
DCL symbol for #undef XXX" messages normal, or is that what happens when
"configure.vms" fails?

   If gnuplot is supposed to support VMS, and if you're following the
instructions, then you might try asking the gnuplot folks.