R Tutorials: Try "Manuals" and "Contributed" in the
documentation section of CRAN. Or
these R
instructional videos.
Building R from
Scratch for MS Windows. Normal people just use the prebuilt
executables, but if you're adventurous, you can try to build
from scratch. I don't use MS Windows, so don't ask me about
this (building R under UNIX or Linux is relatively easy).