Never remember that myself (do it very rarely) but found this SO question that answers just that.
Still no success?
We just released GMT6.0 RC1. You can find the files here and specifically the Windows installer here.
A colleague also tested the Win version and all went well (see this thread).
I will update soon the Readme page of GMT.jl
Thanks for your help! For now I think I will still stick to the latex tikz solution, but I will try to get GMT work later. I thought GMT is exclusively used for creating maps, but now I notice it is very powerful.
Yes, it does a lot more than just mapping. Just to finish this, I also have this (had forgotten) in the Readme. It was meant for OSX but should apply the same for Linux (when it needs)
On OSX, with a manual GMT build and dependencies obtained with Homebrew (that are installed at /user/local/lib), I had to help Julia finding MY libgmt.dylib, with (this line should than be added to the ~/.julia/config/startup.jl file)
push!(Libdl.DL_LOAD_PATH, "/Users/j/programs/gmt5/lib")
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