We need the purification technique for steam volatile, water-immiscible substances.

Such substances are purified by steam distillation.

• In steam distillation, a compound that is immiscible with water and volatile in steam co-distils with water at a temperature lower than its normal boiling point.
• This is especially useful for high-boiling organic compounds that might decompose on ordinary heating.

Now check the options:

• A: Fractional distillation — used for separating miscible liquids with close boiling points. Not suitable here.
• B: Distillation — ordinary distillation is a general method, but the specific method for steam volatile water-immiscible substances is not this.
• C: Fractional distillation under reduced pressure — used for liquids with high boiling points or those that decompose, but not specifically for steam volatile water-immiscible substances.
• D: Steam distillation — correct method.

Therefore, the correct answer is: $\boxed{\text{D: Steam distillation}}$

Comparison with stored correct answer: