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Fix: gnuplot 4.0 has different syntax (incompatible with gnuplot 3.7.x)
Change lines from:
    set linestyle 1 linetype 7 linewidth 1
to:
    set line style 1 linetype 7 linewidth 1

#!/usr/bin/gnuplot

reset

#set terminal postscript enhanced 16
#set output "distribucne-funkcie.ps"
set terminal postscript eps enhanced 30
set output "distribucne-funkcie.eps"

set multiplot
#set grid

set rmargin 0

set line style 1 linetype 1 linewidth 3
set line style 2 linetype 2 linewidth 3
set line style 3 linetype 3 linewidth 3

set arrow 1 from 0.0,0.36 to  0.5,0.36
set arrow 2 from 0.0,0.36 to -0.5,0.36

set label 1 "f(u)" at -1.2,0.1
set label 2 "f_{/Symbol b}(u)" at 0.8,0.7
set label 3 "f_{3D}(u)" at 2,0.12
set label 4 "{/Symbol 2b}" at 0,0.4 center

set xlabel "u"

set ytics 0.2

normal(x)    = exp(-x*x) / sqrt(pi)
beta(x, b)    = exp(-x*x) / sqrt(pi) / erfc(b) \
                * ((arg(b + x) + arg(b - x)) / pi)
x2(x)        = exp(-x*x) * x * x / sqrt(pi) * 2

plot [-3:3][] \
    normal(x)        notitle with lines linestyle 1, \
    x2(x)            notitle with lines linestyle 2, \
    beta(x, 0.5)    notitle with lines linestyle 3