Statistical requires:

Gnuplot with input via stdin (some windows versions do not support this; they are not compatible with this package.)

Python (tested under 2.4) with the gnuplot-py module. 
gnuplot-py currently requires the Numeric module, which is no longer under development (that effort has moved to numpy).

Until gnuplot-py supports the newer numpy module, you will need to install Numeric - several distributions are included here, and the package is hosted on sourceforge at:
http://sourceforge.net/project/showfiles.php?group_id=1369&package_id=1351

Step-by-step:

Install gnuplot
Install python
Install numeric
Install gnuplot-py using "Python setup.py install" from the gnuplot-py-1.7 directory.
python src\main.pyw

OS-specific notes:
Windows: Windows GUI apps don't recieve STDIN, so Statistical can't send commands to gnuplot. Gnuplot ships with a utility to overcome this, but so far I have been unable to get it working.
OSX: Gnuplot for OSX requires X11 to be installed (found on the OSX cd), and also requires aquaterm (bundled here, or see http://aquaterm.sourceforge.net)