Here is a code sample how this can be done using TikZ. It is taken (and slightly modified by adding the separating line you asked for) from http://www.texample.net/tikz/examples/scatterplot/
\documentclass{article}
\usepackage{tikz}
\begin{document}
\begin{tikzpicture}[only marks]
\draw plot[mark=+] file {data1.txt};
\draw plot[mark=*] file {data2.txt};
\draw[->] (0,0) -- coordinate (x axis mid) (11,0);
\draw[->] (0,0) -- coordinate (y axis mid)(0,17);
\foreach \x in {0,2,4,6,8,10}
\draw (\x cm,1pt) -- (\x cm,-3pt)
node[anchor=north] {$\x$};
\foreach \y in {0,4,8,12,16}
\draw (1pt,\y cm) -- (-3pt,\y cm) node[anchor=east] {$\y$};
\node[below=1cm] at (x axis mid) {Dimension 1};
\node[left=2cm,rotate=90] at (y axis mid) {Dimension 2};
\draw[red,thick] (1,0) -- (9,16);
\end{tikzpicture}
\end{document}
The sample data files contain the following entries (taken and modified from http://d.xav.free.fr/tikz/):
data1.txt:
2.045784 3.415896
2.405784 4.025693
2.785784 4.522530
3.125784 5.538449
3.485784 6.704992
3.805784 6.978939
4.145784 7.113496
4.425784 8.916397
5.065784 9.487712
5.365784 10.876397
5.685784 10.693497
6.025784 11.364131
6.345784 11.442530
6.665784 12.582530
7.005784 13.125693
7.225784 13.738450
7.585784 14.247891
7.865784 14.982530
data2.txt:
3.045784 2.415896
3.405784 3.025693
3.785784 3.522530
4.125784 4.538449
4.485784 5.704992
4.805784 5.978939
5.145784 6.113496
5.425784 7.916397
6.065784 8.487712
6.365784 9.876397
6.685784 9.693497
7.025784 10.364131
7.345784 10.442530
7.665784 11.582530
8.005784 12.125693
8.225784 12.738450
8.585784 13.247891
8.865784 13.982530