I’m probably not the first or only one to say this but Plex needs to add the EPG to the Live TV section of the Plex Media Player (for Windows Home Theater PCs).
Plex has a beta running for the replacement to Plex Media Player which includes EPG. PMP will get no further development of new features.
Check here Introducing Plex HTPC!
2021 clean-up: as pointed out by Tiebierius… please use the new Plex HTTP which has this functionality (PMP is mostly obsolete by now)
