Run it with xelatex or the sequence latex->dvips->ps2pdf:
\documentclass{article}
\usepackage{pst-func}
\begin{document}
\psset{xunit=1.25cm,yunit=10cm}
\begin{pspicture*}(-6,-0.1)(6,0.5)
\psaxes[Dy=0.1]{->}(0,0)(-5,0)(5.5,0.5)
\psTDist[linewidth=1pt,plotpoints=100,linecolor=red,
fillstyle=solid,fillcolor=red!50,opacity=0.4, nue=3]{-5}{5}
\rput(3,0.3){$\nu=3$}
\end{pspicture*}
\end{document}

And for the values nue = 1,2,5,1000:
\documentclass{article}
\usepackage{pst-func}
\begin{document}
\psset{xunit=1cm,yunit=10cm}
\begin{pspicture*}(-6,-0.1)(6,0.5)
\psaxes[Dy=0.1]{->}(0,0)(-5,0)(5.5,0.5)
\psset{linewidth=1pt,plotpoints=100}
\psTDist[linecolor=red,nue=1]{-5}{5}
\psTDist[linecolor=green,nue=2]{-5}{5}
\psTDist[linecolor=blue,nue=5]{-5}{5}
\psTDist[linestyle=dashed,nue=1000]{-5}{5}
\end{pspicture*}
\end{document}
