In order to use Plink, the file plink.exe will need either to be on your PATH or in your current directory. To add the directory containing Plink to your PATH environment variable, type into the console window:
set PATH=C:\path\to\putty\directory;%PATH%

This will only work for the lifetime of that particular console window. To set your PATH more permanently on Windows NT, 2000, and XP, use the Environment tab of the System Control Panel. On Windows 95, 98, and ME, you will need to edit your AUTOEXEC.BAT to include a set command like the one above.