Heike's code produces a graphics output. So if you run it inside a raw kernel (which is what the `math` command does on linux), it won't display any graphics. Instead you'll see something like `--Graphics--` on your screen. To actually display the output, you'll need to load the `JavaGraphics` package as ``<<JavaGraphics` `` before the plot command (this needs to be done only once per session).

[Jens](http://mathematica.stackexchange.com/users/245/jens) has [more on running Mathematica without a front-end](http://pages.uoregon.edu/noeckel/Mathematica.html). Brett Champion also notes the following:

>When using ``JavaGraphics` ``, graphics are rendered by a child front end and converted to a bitmap format. So most new features of graphics are supported. The exception is that if there are interactive aspects to the graphic (tooltips, mouse-overs, `Dynamics`), they will effectively be ignored. Visualization functions sometimes have problems since in order for them to work correctly, they have to handle `Show` and `DisplayFunction` just right. If you do run across problems with a visualization function when using ``JavaGraphics` `` , please file it as a bug. 

As for the rest of the questions, I'll refer you to the [official documentation](http://reference.wolfram.com/mathematica/tutorial/RunningMathematicaOverview.html) that Sjoerd shared, as there is no need to duplicate information.