The FAQ for R for Windows is at

    http://www.stats.ox.ac.uk/pub/R/rw-FAQ.html

This is actually the best place to look for information on how to
install and use the windows version of R.  What follows is a brief
description of what I did.

Create a directory/folder where you want to install R.  When
downloading the files below, they should be saved to this folder.

Go to http://lib.stat.cmu.edu/R/CRAN or another mirror of the
"Comprehensive R Archive Network" (CRAN).

Click on "Sources and binaries", "Binary distributions", "windows",
and "windows-9x" in succession.

Under "base", download the files:

      rw0990b1.zip     <- R base
      rw0990b2.zip     <- R base
      rw0990h.zip      <- Text help files
      rw0990ch.zip     <- Compiled HTML help files
      rwinst.exe       <- installer

Optionally you may also want

      rw0990w.zip      <- HTML format help files
      rw0990wh.zip     <- Windows help files
      rw0990l.zip      <- LaTeX version of help files
      rw0990d.zip      <- PDF version of R manual (incomplete)
      rw0990sp.zip     <- 

Under "contrib", download:

      VR61-7.zip

and any other packages you want (the file "PACKAGES" gives a brief
description of each).

Now run rwinst.exe and first install R (the base and the help files).
Then run rwinst.exe again, this time to install "An add-on package".
Choose "VR61-6"and continue.  Again, choose the version(s) of the help
files that you want to use.

Now make a shortcut to "your install directory"\rw0990\bin\Rgui.exe or
add it to your start menu.

You're ready to go.  Start up R and have fun.  Again, there's a lot
more information in the "R for Windows FAQ".